| Titre | Crédibilité et fondamentaux macro-économiques au sein du SME : un examen empirique | |
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| Auteur | Antoine Magnier, Benoît Cœuré | |
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Revue | Economie et prévision |
| Numéro | no 123-124, 1996/2-3 Économie des taux de change | |
| Rubrique / Thématique | SME et crises de change |
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| Page | 113-146 | |
| Résumé anglais |
EMS Credibility and Macroeconomic Fundamentals: An Empirical Study by Benoît Cœuré and Antoine Magnier
The connection between the credibility of the EMS parities and changes in macroeconomic fundamentals is at the core of the economic debate that started following the 1992 and 1993 exchange rate crises. This study proposes an empirical evaluation of this link over the 1983-1993 period. We first put together a measure of devaluation expectations for the French franc/deutschemark and lira/deutschemark parities using the method of exchange rate "drift correction" in a target-zone arrangement. We then use non-stationary VAR modeling, Granger causality tests and the calculation of response-to-macroeconomic-shock functions to evaluate the role of the fundamentals in the formation of devaluation expectations. Certain macroeconomic variables seem to affect the credibility of the parities studied over the 1983-1993 period, but these links do not generally appear to be particularly intuitive or significant from an economic point of view. Nevertheless, the effect of exogenous shocks on the credibility of the French franc/deutschemark parity tends to ease off fairly quickly, while this same effect appears highly persistent in the case of the lira/deutschemark parity. The results are not really conclusive as regards the nature of the 1992 and 1993 exchange rate crises. However, they do suggest that the theoretical explanation for the crises in terms of multiple equilibria could be justified in part. More importantly, the results underscore the need for a more structural econometric approach. 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_5794 |
