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

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  • 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
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    Citations

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    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. M’bakob Gilles Brice & Mandeng ma Ntamack Jules, 2024. "Influence of psychological exchange rates (PER) on forex price formation: theory, empirical, and experimental evidence," SN Business & Economics, Springer, vol. 4(9), pages 1-53, September.
    4. repec:hal:spmain:info:hdl:2441/5378 is not listed on IDEAS
    5. Antoine Bouveret & Sana Mestiri & Henri Sterdyniak, 2006. "The renminbi equilibrium exchange rate: an agnostic view," Documents de Travail de l'OFCE 2006-13, Observatoire Francais des Conjonctures Economiques (OFCE).
    6. repec:spo:wpmain:info:hdl:2441/6125 is not listed on IDEAS
    7. repec:hal:spmain:info:hdl:2441/5282 is not listed on IDEAS
    8. repec:spo:wpmain:info:hdl:2441/5378 is not listed on IDEAS
    9. repec:hal:wpspec:info:hdl:2441/6125 is not listed on IDEAS
    10. repec:hal:spmain:info:hdl:2441/6125 is not listed on IDEAS
    11. 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.
    12. repec:spo:wpmain:info:hdl:2441/5282 is not listed on IDEAS
    13. 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.
    14. 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.
    15. 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 hal-01880363, HAL.

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