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Une approche déterministe du taux de change euro-dollar

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  • Jean-François Goux

Abstract

The time series of the euro/dollar exchange rate can be analyzed correctly by incorporating a discontinuity in the form of a ?thick transitory break?. If we examine the period from the Louvre agreements to March 2009 but eliminate the euro?s initial years, we can conclude that the rate is level-stationary or trend-stationary, and thus that a self-correcting mechanism returns the rate to an equilibrium level (or trend). We demonstrate this effect using a new test procedure based on the elimination of ?thick transitory breaks?. More generally, we confirm the assumption that, thanks to the existence of deterministic trends with breaks, exchange-rate variations can be explained without necessarily referring to fundamentals.

Suggested Citation

  • Jean-François Goux, 2010. "Une approche déterministe du taux de change euro-dollar," Economie & Prévision, La Documentation Française, vol. 0(4), pages 35-51.
    • Handle: RePEc:cai:ecoldc:ecop_195_0035
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