IDEAS home Printed from https://ideas.repec.org/a/cii/cepiei/2005-3tc.html
   My bibliography  Save this article

Le taux de change euro-dollar : une approche fondee sur la co-integration avec break structurel

Author

Listed:
  • Jean-Francois Goux

Abstract

Lorsqu’on etudie des donnees macro-economiques, il est souvent pertinent d’introduire des ruptures dans l’analyse statistique. En particulier, la technique de la co-integration avec rupture structurelle peut s’averer interessante. Cet article propose une application du modele de Johansen et al. (2000) dans le cas du taux de change euro-dollar. Nous presentons le modele pertinent pour une telle analyse et demontrons que certains fondamentaux (prix, taux d’interet) retrouvent une partie de leur pouvoir explicatif lorsque des ruptures structurelles sont introduites dans la composante deterministe. Mais le mecanisme principal reste le retour a la moyenne vers une tendance coudee.

Suggested Citation

  • Jean-Francois Goux, 2005. "Le taux de change euro-dollar : une approche fondee sur la co-integration avec break structurel," Economie Internationale, CEPII research center, issue 103, pages 45-72.
    • Handle: RePEc:cii:cepiei:2005-3tc
    as

    Download full text from publisher

    File URL: http://www.cepii.fr/IE/rev103/rev103c.htm
    Download Restriction: no
    ---><---

    Citations

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


    Cited by:

    1. Jean-François Goux, 2010. "Une approche déterministe du taux de change euro-dollar," Économie et Prévision, Programme National Persée, vol. 195(4), pages 35-51.
    2. Jinzhao Chen, 2009. "Beyond Cheap Talks: Assessing the Undervaluation of the Chinese Currency Between 1994 and 2007," Economie Internationale, CEPII research center, issue 119, pages 47-82.
    3. Jean-François Goux, 2008. "Ruptures épaisses et stationnarité en tendance : le cas du taux de change euro-dollar," Post-Print halshs-00333576, HAL.

    More about this item

    Keywords

    Taux de change euro-dollar; co-integration; tendance coudee;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

    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:cii:cepiei:2005-3tc. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/cepiifr.html .

    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.