| Titre | Sensibilités des taux de change d'équilibre aux output gaps et aux cibles de la balance courante | |
|---|---|---|
| Auteur | Florence Thibault, Cécile Couharde, Didier Borowski | |
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Revue | Economie et prévision |
| Numéro | no 134, 1998/3 Structures et propriétés de cinq modèles macro-économiques français | |
| Rubrique / Thématique | Structures et propriétés de cinq modèles macroéconomiques français |
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| Page | 71-96 | |
| Résumé anglais |
Sensitivities of equilibrium exchange rates to output gaps and current-account balance targets. Methodology and
estimates for the main industrialized countries
by Didier Borowski, Cécile Couharde and Florence Thibault
Following the research initiated by the IMF in the 1970s, John Williamson defined the concept of fundamental equilibrium exchange rate (FEER) as the real effective exchange rate that enables an economy to achieve two simultaneous goals in the medium term: internal equilibrium (i.e., a non-accelerating-inflation growth path) and external equilibrium (i.e., a "sustainable" current-account balance).
The aim of this article is to estimate FEERs for the main industrialized countries (G7 + Belgium, the Netherlands, and Spain) over the period 1984-95. To obtain these estimates, we constructed a static model based on the long-term specifications of the National Institute Global Economic Model (NIGEM). Our approach is partly inspired by the work of the National Institute of Economic and Social Research (NIESR) but departs from it to the extent that we assume internal equilibrium to be exogenous.
The main determinants of FEERs are the current-account balance targets and potential GDP growth rates — which define the external and internal equilibriums respectively. Given their high normative content, the values we assign to both determinants are essentially intended as notional examples.
Our method for resolving the long-term model offers two major advantages: (1) We directly obtain bilateral equilibrium parities from which we calculate the real effective exchange rates. (2) We demonstrate the sensitivity of exchange rates to deviations from current-account balance targets and to output gaps. This approach thus allows a more accurate measurement of currency over- or undervaluation . Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1998_num_134_3_5918 |
