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Comment fixer les cours de change? Annonces et correspondancesmaastrichtiennes
Published online by Cambridge University Press: 17 August 2016
Résumé
Cette étude revient sur la distinction établie entre deux règles de fixationirrévocable des cours de change: une règle temporelle suivant laquelle legel de la parité est programmé à une date arbitraire; une règle d'état souslaquelle cette décision résulte de l'atteinte d'un seuil par lesdéterminants fondamentaux. En les replaçant dans un cadre d'analyse commun,ces stratégies apparaisent en fait rigoureusement équivalentes en l'absenced'incertitude sur le déroulement de la transition. Une correspondance entermes probabilistes est établie dans un contexte stochastique plus général.Ce cadre d'analyse unifié s'avère un préalable utile pour entreprendre unerelecture de la stratégie maastrichtienne en matière cambiaire et mettre àjour certaines propriétés du scénario finalement adopté par les autoritéseuropéennes.
Summary
This analysis questions the distinction between two exchange rate fixingrules: a “time-dependent” rule under which the exchange rate is fixed at anarbitrarily given date; a “state-dependent” rule under which the irrevocableswitch to a peg occurs when the fundamentals reach a given threshold value.By replacing them in a common analytical framework, we underline the strictequivalence between the two rules if the fundamentals follow a purelydeterministic process during the transition. In a broader stochasticcontext, a correspondence in probabilistic terms prevails between thesestrategies. This unified approach allows a new assessment of the Maastrichtway to EMU as regards exchange rates. In particular, we emphasize someproperties of the scenario which was finally adopted by the Europeanmonetary authorities.
Keywords
Information
- Type
- Research Article
- Information
- Recherches Économiques de Louvain/ Louvain Economic Review , Volume 69 , Issue 1 , 2003 , pp. 39 - 71
- Copyright
- Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2003
Footnotes
*
CERESUR, Université de la Réunion, 15, Avenue René Cassin, B.R 7151, 97715 Saint-Denis Messag, Cedex 9, La Réunion, FRANCE E-mail: pentecot@univ-reunion.fr
**
GRAPE, Université Montesquieu-Bordeaux IV, Avenue Léon Duguit, 33608 Pessac Cedex, FRANCE E-mail: senegas@montesquieu.u-bordeaux.fr
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