| Titre | Dette publique et taux de change dans les pays du G7 sur les deux dernières décennies | |
|---|---|---|
| Auteur | Alain Paraponaris | |
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Revue | Economie et prévision |
| Numéro | no 123-124, 1996/2-3 Économie des taux de change | |
| Rubrique / Thématique | Fondamentaux |
|
| Page | 67-96 | |
| Résumé anglais |
Government Debt and Exchange Rate Dynamics: Empirical Evidence for G7 Countries over the Last Two Decades
by Alain Paraponaris
Empirical exchange rate studies can be roughly divided into univariate models and open economy macroeconomic models. The former have no particular grounding in macroeconomic theory, but have the best predictive short-run performance. The latter perform less well in terms of the short run, but help explain long-run changes in exchange rates. This paper presents an overview of some stylised facts for G7 countries and endeavours to link the recent behaviour of exchange rates to changes in government debt. The empirical study is based on cointegration tests, causality tests within error-correction models, simulations of shocks on variables and the breakdown of forecasting error variance. This study distinguishes the countries in which the causal relation runs from government debt to exchange rates (Canada and the United States) from those in which the relation is reversed (France and Germany). The relation is found to be bidirectional for Great Britain and Italy. Results for Japan are inconclusive. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1996_num_123_2_5791 |
