IDEAS home Printed from https://ideas.repec.org/a/cai/reofsp/reof_093_0243.html
   My bibliography  Save this article

Les modèles de taux de change. Équilibre de long terme, dynamique et hystérèse

Author

Listed:
  • Antoine Bouveret
  • Henri Sterdyniak

Abstract

Predicting exchange rates remains a tricky issue for economists. In spite of a theoretical consistent framework, macroeconomic models fail to beat random walk models and market expectations have not predictive power. The article addresses some problems of exchange rate macroeconomic modelling. The first part discusses theories of long run exchange rate equilibrium (FEER, DEER, BEER and NATREX). The second part presents a small macroeconomic model of exchange rates dynamics; it consider several modelling alternatives ? monetary policy specification, price-wages loop, portfolio and patrimonial effects ? and analyse their impacts on long run and dynamic properties. The third part introduces explicitly fiscal policy specifications. Last, the fourth part gives an example of a model with hysteresis, where temporary shocks influence the long-term exchange rate equilibrium.

Suggested Citation

  • Antoine Bouveret & Henri Sterdyniak, 2005. "Les modèles de taux de change. Équilibre de long terme, dynamique et hystérèse," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 243-286.
    • Handle: RePEc:cai:reofsp:reof_093_0243
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=REOF_093_0243
    Download Restriction: free
    File URL: http://www.cairn.info/revue-de-l-ofce-2005-2-page-243.htm
    Download Restriction: free
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Matthias Gocke, 2001. "A Macroeconomic Model with Hysteresis in Foreign Trade," Metroeconomica, Wiley Blackwell, vol. 52(4), pages 449-473, November.
    2. Odile Chagny & Frédéric Reynès & Henri Sterdyniak, 2002. "Le taux de chômage d'équilibre. Discussion théorique et évaluation empirique," Revue de l'OFCE, Presses de Sciences-Po, vol. 81(2), pages 205-244.
    3. Mathieu Féroldi & Henri Sterdyniak, 1987. "La dynamique du taux de change : du long au court terme," Post-Print hal-03428757, HAL.
    4. Dixit, Avinash K, 1989. "Entry and Exit Decisions under Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 620-638, June.
    5. Campa, Jose Manuel, 2004. "Exchange rates and trade: How important is hysteresis in trade?," European Economic Review, Elsevier, vol. 48(3), pages 527-548, June.
    6. W. David McCausland, 2000. "Exchange Rate Hysteresis from Trade Account Interaction," Manchester School, University of Manchester, vol. 68(1), pages 113-131, January.
    7. Loic Cadiou, 1999. "Que faire des taux de change reels d'equilibre ?," Economie Internationale, CEPII research center, issue 77, pages 67-96.
    8. Didier Borowski & Cecile Couharde, 1999. "Quelle parite d'equilibre pour l'euro ?," Economie Internationale, CEPII research center, issue 77, pages 21-44.
    9. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," NBER Chapters, in: NBER Macroeconomics Annual 1986, Volume 1, pages 15-90, National Bureau of Economic Research, Inc.
    10. Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005. "Empirical exchange rate models of the nineties: Are any fit to survive?," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
    11. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    12. McCausland, W David, 2000. "Exchange Rate Hysteresis from Trade Account Interaction," Manchester School, University of Manchester, vol. 68(1), pages 113-131, January.
    13. Clark, Peter B. & MacDonald, Ronald, 2004. "Filtering the BEER: A permanent and transitory decomposition," Global Finance Journal, Elsevier, vol. 15(1), pages 29-56.
    14. Blanchard, Olivier J. & Summers, Lawrence H., 1987. "Hysteresis in unemployment," European Economic Review, Elsevier, vol. 31(1-2), pages 288-295.
    15. Baldwin, Richard, 1988. "Hyteresis in Import Prices: The Beachhead Effect," American Economic Review, American Economic Association, vol. 78(4), pages 773-785, September.
    16. repec:hal:spmain:info:hdl:2441/1903 is not listed on IDEAS
    17. W David McCausland, 2002. "Exchange Rate Hysteresis: The Effects of Overshooting and Short‐Termism," The Economic Record, The Economic Society of Australia, vol. 78(240), pages 60-67, March.
    18. Roberts, Mark A. & McCausland, W. David, 1999. "Multiple international debt equilibria and irreversibility," Economic Modelling, Elsevier, vol. 16(2), pages 179-188, April.
    19. Richard Baldwin & Paul Krugman, 1989. "Persistent Trade Effects of Large Exchange Rate Shocks," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(4), pages 635-654.
    20. Meese, Richard A & Rogoff, Kenneth, 1988. " Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period," Journal of Finance, American Finance Association, vol. 43(4), pages 933-948, September.
    21. Paul Grauwe & Hans Dewachter, 1993. "A Chaotic Monetary Model of the Exchange Rate," International Economic Association Series, in: Helmut Frisch & Andreas Wörgötter (ed.), Open-Economy Macroeconomics, chapter 19, pages 353-376, Palgrave Macmillan.
    22. Matthias Göcke, 2002. "Various Concepts of Hysteresis Applied in Economics," Journal of Economic Surveys, Wiley Blackwell, vol. 16(2), pages 167-188, April.
    23. Mr. Peter B. Clark & Mr. Steven A. Symansky & Mr. Tamim Bayoumi & Mr. Mark P. Taylor, 1994. "Robustness of Equilibrium Exchange Rate Calculations to Alternative Assumptions and Methodologies," IMF Working Papers 1994/017, International Monetary Fund.
    24. Amable, Bruno & Henry, J. & Lordon, F. & Topol, R., 1992. "Hysteresis : what it is and what it is not ?," CEPREMAP Working Papers (Couverture Orange) 9216, CEPREMAP.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Antoine Bouveret & Bruno Ducoudre, 2007. "On the Contingency of Equilibrium Exchange Rates with Time - Consistent Economic Policies," SciencePo Working papers Main hal-01066080, HAL.
    2. repec:spo:wpecon:info:hdl:2441/6125 is not listed on IDEAS
    3. Antoine Bouveret & Sana Mestiri & Henri Sterdyniak, 2006. "The Renminbi Equilibrium Exchange Rate: an agnostic view," Sciences Po publications 2006-13, Sciences Po.
    4. repec:hal:spmain:info:hdl:2441/5282 is not listed on IDEAS
    5. El Bouhadi, A. & Elkhider, Abdelkader & Kchirid, El Mustapha & Idriss, El Abbassi, 2008. "LES déterminants du taux de change au Maroc : Une étude empirique [THE Exchange Rate Determinants in Morocco: An Empirical Investigation]," MPRA Paper 24115, University Library of Munich, Germany.
    6. Antoine Bouveret & Sana Mestiri & Henri Sterdyniak, 2006. "La valeur du yuan. Les paradoxes du taux de change d'équilibre," Revue de l'OFCE, Presses de Sciences-Po, vol. 98(3), pages 77-127.
    7. Serge Rey, 2009. "Des insuffisances de la PPA à l’apport du NATREX : une revue critique des théories du taux de change réel d’équilibre," Working papers of CATT hal-01880363, HAL.
    8. repec:hal:spmain:info:hdl:2441/5121 is not listed on IDEAS
    9. repec:hal:spmain:info:hdl:2441/5378 is not listed on IDEAS
    10. repec:hal:wpspec:info:hdl:2441/6125 is not listed on IDEAS
    11. repec:hal:spmain:info:hdl:2441/6125 is not listed on IDEAS
    12. Nicolas Moumni & Salma Dasser, 2020. "Moroccan Dirham Flexibilization and Equilibrium Exchange Rate: A Quest for Grail?," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 132-140.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Antoine Bouveret & Henri Sterdyniak, 2005. "Les modèles de taux de change," Post-Print hal-01071965, HAL.
    2. repec:hal:wpspec:info:hdl:2441/5285 is not listed on IDEAS
    3. repec:spo:wpecon:info:hdl:2441/5285 is not listed on IDEAS
    4. repec:hal:spmain:info:hdl:2441/5285 is not listed on IDEAS
    5. Ansgar Belke & Matthias Göcke & Laura Werner, 2014. "Hysteresis Effects in Economics – Different Methods for Describing Economic Path-dependence," Ruhr Economic Papers 0468, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    6. Campbell, Douglas L., 2020. "Relative Prices and Hysteresis: Evidence from US Manufacturing," European Economic Review, Elsevier, vol. 129(C).
    7. Belke, Ansgar & Göcke, Matthias & Werner, Laura, 2014. "Hysteresis Effects in Economics – Different Methods for Describing Economic Path-dependence," Ruhr Economic Papers 468, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    8. repec:zbw:rwirep:0468 is not listed on IDEAS
    9. Sérgio Kannebley Júnior & João Paulo Martins Baroni & Diogo de Prince, 2015. "Macro-Hysteresis Test for Brazilian Exports of Manufactured Products: A threshold Panel Approach," Metroeconomica, Wiley Blackwell, vol. 66(4), pages 606-637, November.
    10. Antoine Bouveret, 2010. "Economic policies, long run equilibrium and exchange rate dynamics [Politiques économiques, dynamique et équilibre de long terme du taux de change]," SciencePo Working papers Main tel-04097866, HAL.
    11. Göcke, Matthias, 2012. "Play-hysteresis in supply as part of a market model," Discussion Papers 61, Justus Liebig University Giessen, Center for international Development and Environmental Research (ZEU).
    12. Matthias Göcke & Laura Werner, 2015. "Play Hysteresis in Supply or in Demand as Part of a Market Model," Metroeconomica, Wiley Blackwell, vol. 66(2), pages 339-374, May.
    13. El Bouhadi, A. & Elkhider, Abdelkader & Kchirid, El Mustapha & Idriss, El Abbassi, 2008. "LES déterminants du taux de change au Maroc : Une étude empirique [THE Exchange Rate Determinants in Morocco: An Empirical Investigation]," MPRA Paper 24115, University Library of Munich, Germany.
    14. repec:spo:wpecon:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    15. repec:hal:wpspec:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    16. Jolita Adamonis & Matthias Göcke, 2019. "Modelling economic hysteresis losses caused by sunk adjustment costs," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 42(2), pages 299-318, April.
    17. Matthias Goecke, 2019. "Economic Hysteresis with Multiple Inputs - A Simplified Treatment," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 17(1-B), pages 98-113.
    18. Antoine Bouveret, 2010. "Politiques économiques, dynamique et équilibre de long terme du taux de change," Sciences Po publications info:hdl:2441/53r60a8s3ku, Sciences Po.
    19. repec:hal:spmain:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    20. Agnès Bénassy‐Quéré & Lionel Fontagné & Horst Raff, 2011. "Exchange‐rate Misalignments in Duopoly: The Case of Airbus and Boeing," The World Economy, Wiley Blackwell, vol. 34(4), pages 623-641, April.
    21. Mundaca, Gabriela, 2015. "Multi-product firms, exports and exchange rate policies. Evidence from an emerging economy," MPRA Paper 65751, University Library of Munich, Germany.
    22. Donna, Javier D., 2018. "Measuring Long-Run Price Elasticities in Urban Travel Demand," MPRA Paper 90059, University Library of Munich, Germany.
    23. Doireann Fitzgerald & Stefanie Haller, 2014. "Exporters and Shocks: Dissecting the International Elasticity Puzzle," Working Papers 201408, School of Economics, University College Dublin.
    24. Campbell, Douglas L., 2013. "Relative Prices, Hysteresis, and the Decline of American Manufacturing," MPRA Paper 51723, University Library of Munich, Germany.
    25. Romero, Julian, 2015. "The effect of hysteresis on equilibrium selection in coordination games," Journal of Economic Behavior & Organization, Elsevier, vol. 111(C), pages 88-105.
    26. Juan A. Máñez & María E. Rochina-Barrachina & Juan A. Sanchis, 2008. "Sunk Costs Hysteresis in Spanish Manufacturing Exports," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 144(2), pages 272-294, July.
    27. Sohei Kaihatsu & Maiko Koga & Tomoya Sakata & Naoko Hara, 2019. "Interaction between Business Cycles and Economic Growth," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 37, pages 99-126, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:reofsp:reof_093_0243. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-de-l-ofce.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.