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Dynamique des taux de change à l'intérieur du SME

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  • Sanvi Avouyi-Dovi
  • Jean-Pierre Laffargue

Abstract

This paper gives an interpretation of the working of the EMS in the eighties. On one hand French franc, Belgium franc, and Irish pound, appear to have been stabilized around implicit central parities, which were revised from time to time. On the other hand, lira and Danish crown have followed a random walk with jumps. The econometric method we have used, computes implicit central parities, the times of their realignments and the probabilities that the market gave to them for the near future.

Suggested Citation

  • Sanvi Avouyi-Dovi & Jean-Pierre Laffargue, 1994. "Dynamique des taux de change à l'intérieur du SME," Annals of Economics and Statistics, GENES, issue 35, pages 47-85.
    • Handle: RePEc:adr:anecst:y:1994:i:35:p:47-85
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    File URL: http://www.jstor.org/stable/20075959
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    Cited by:

    1. Patrick Artus & Claude Jessua, 1996. "La spéculation," Revue Économique, Programme National Persée, vol. 47(3), pages 409-424.
    2. Jean-Sébastien Pentecôte & Thierry Roncalli, 1996. "Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995," Économie et Prévision, Programme National Persée, vol. 123(2), pages 189-205.
    3. Pierre Jaillet & Christian Pfister, 1993. "Du SME à la monnaie unique," Économie et Statistique, Programme National Persée, vol. 262(1), pages 21-36.
    4. Daniel Laskar, 1997. ""Incohérence temporelle" de la politique monétaire optimale. Un argument en faveur des zones cibles," Revue Économique, Programme National Persée, vol. 48(1), pages 5-22.

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