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Des insuffisances de la PPA à l’apport du NATREX : une revue critique des théories du taux de change réel d’équilibre

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  • Serge REY

Abstract

L’analyse des mésalignements des taux de change, c’est-à -dire des sur ou sous-évaluations des monnaies, reste au coeur des débats de la finance internationale. Or, ces mésalignements ne peuvent être définis et mesurés qu’en référence à un taux de change d’équilibre, considéré comme la « norme ». Face à une littérature abondante, comment sélectionner le « bon » modèle ? On considère que le modèle pertinent doit répondre à certaines exigences, qui relèvent à la fois du contenu théorique et du caractère opérationnel pour procéder à des applications empiriques. Au niveau théorique ce modèle devra s’attacher à : d’une part expliquer la dynamique des taux de change réels, en distinguant notamment les équilibres de moyen et long terme ; d’autre part rendre compte de l’interaction taux de change-dette externe. Au niveau empirique, la possibilité d’estimer sous forme structurelle un modèle complet qui permette la prise en compte de manière explicite des conditions d’équilibre de moyen terme et de long terme, pourra renforcer ce choix. On montre que les modèles standard de la littérature que sont la PPA, le modèle FEER et le modèle BEER, ne répondent que partiellement à ces exigences, et qu’a contrario, le NATREX constitue à ce jour l’approche la plus élaborée. Pour ces raisons, cet article revient en détail sur les principales caractéristiques du (des) modèle(s) NATREX.

Suggested Citation

  • Serge REY, 2009. "Des insuffisances de la PPA à l’apport du NATREX : une revue critique des théories du taux de change réel d’équilibre," Working Papers 5, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Nov 2009.
  • Handle: RePEc:tac:wpaper:5
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    File URL: http://gtl.univ-pau.fr/travaux/F_5DocWcattPPA_NATREX_TxChangeReelSRey.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    taux de change réel d'équilibre; PPA; NATREX; BEER; FEER; crises financières;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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