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Impact de l'annonce de la modalité de fixation des taux de conversion des monnaies européennes

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  • Bronka Rzepkowski

Abstract

[eng] European Currencies Exchange Rates Conversion Rules: Impact of a Prior Announcement . by Bronka Rzepkowski . Conversion rates vis-à-vis the euro will be known only on the first January 1999. This uncertainty on the levels of final parities may be the source of instalibity during the interim period. Such a risk of tensions can be limited a pre-announcement. The impact of three different modalities for setting bilateral conversion rates is examined in two steps : firstly, foreign exchange and interest rates adjustments at the time of the announcement ; secondly, the dynamics of the currency rates during the interim period. Simulations of exchange rate paths show that annoucing a precise rate (central rate) or an average rule would result in similar levels of volatility. However, announcing a target band would entail at least twice more volatility. [fre] Impact de l'annonce de la modalité de fixation des taux de conversion des monnaies européennes . par Bronka Rzepkowski . Les taux de conversion contre euro ne seront connus que le 1er janvier 1999. Cette incertitude sur la valeur des parités finales peut créer de l'instabilité pendant la période intérimaire. Ce risque de tension peut être limité par une pré-annonce. L'impact d'une pré-annonce de trois modalités de fixation des cours de conversion bilatéraux est étudié en deux temps : ajustements des taux de change et des taux d'intérêts au moment de l'annonce d'une part, dynamique du change pendant la période intérimaire d'autre part. Les trajectoires de change simulées montrent que l'annonce d'un cours précis (cours pivot) ou de la règle de la moyenne produisent des niveaux de volatilité comparables. En revanche, l'annonce d'une bande cible entraîne une volatilité au moins deux fois plus élevée.

Suggested Citation

  • Bronka Rzepkowski, 1997. "Impact de l'annonce de la modalité de fixation des taux de conversion des monnaies européennes," Économie et Prévision, Programme National Persée, vol. 128(2), pages 145-159.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1997_num_128_2_5854
    DOI: 10.3406/ecop.1997.5854
    Note: DOI:10.3406/ecop.1997.5854
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    1. De Grauwe, Paul, 1997. "The Indeterminacy of the Euro Conversion Rates. Why it Matters and How it can be Solved," CEPR Discussion Papers 1677, C.E.P.R. Discussion Papers.
    2. De Grauwe, Paul, 1996. "How to Fix Conversion Rates at the Start of EMU," CEPR Discussion Papers 1530, C.E.P.R. Discussion Papers.
    3. Burda, Michael & Gerlach, Stefan, 1993. "Exchange Rate Dynamics and Currency Unification: The Ostmark-DM Rate," Empirical Economics, Springer, vol. 18(3), pages 417-429.
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