| Titre | Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995 | |
|---|---|---|
| Auteur | Thierry Roncalli, Jean-Sébastien Pentecôte | |
 |
Revue | Economie et prévision |
| Numéro | no 123-124, 1996/2-3 Économie des taux de change | |
| Rubrique / Thématique | SME et crises de change |
|
| Page | 189-205 | |
| Résumé anglais |
A Return to Average Rates in the European Exchange Rate Mechanism: 1987-1995 by Jean Sébastien Pentecôte and Thierry Roncalli
This paper studies the effect of the return to average daily rates for the European Exchange Rate Mechanism currencies and the dollar against the deutschemark over the 1987-1995 period. The error correction term appears to fluctuate over this interval. However, it is rarely significant. Our study does not conclusively uphold the findings of the theoretical target zone models. With the exception of the Belgian franc and the guilder, the estimated exchange rate appeal value differs from the official parity. As regards the dollar, the Louvre Agreements would appear to have been brought into question following the October 1987 stock exchange crash. 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_5798 |
