| Titre | Hétérogénéité, mémoire longue et dynamique du taux de change réel | |
|---|---|---|
| Auteur | Patrick Fève | |
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Revue | Economie et prévision |
| Numéro | no 123-124, 1996/2-3 Économie des taux de change | |
| Rubrique / Thématique | Fondamentaux |
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| Page | 23-43 | |
| Résumé anglais |
Heterogeneity, Long Memory and the Dynamics of the Real Exchange Rate
by Patrick Fève
The purchasing power parity assumption could be considered to be one of the most influential equilibrium exchange rate in open economy macroeconomics. It is empirically one of the most studied assumptions, but also one of the most disputed. identify the main opportunities and threats of a quantitative evaluation of the PPP and propose testing this assumption by fractional processes. This type of modeling partially addresses the problem of heterogeneity, but above all provides a more representation of the dynamics of the real exchange rate. Long memory tests are applied to the real exchange rate for the franc against the deutschemark, the US dollar, the Italian lira and the pound sterling. Yet the scope of the results derived from modeling remains somewhat limited, as it is difficult to be conclusive about the empirical pertinence of the long-run PPP for the deutschemark and the lira. Moreover, the unit root assumption cannot be rejected for the dollar and the pound sterling. 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_5788 |
