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La spéculation sur le marché des changes : définitions et paradoxes

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  • Jean-Pierre Laffargue

Abstract

[fre] La spéculation sur le marché des changes. Définitions et paradoxes. . En régime de change flexible, un consommateur est confronté à deux types de risques :. 1. Les biens étrangers qu'il commande maintenant, mais qu'il paiera à une date ultérieure, auront un coût en monnaie nationale qui dépendra des taux de change prévalant le jour du paiement.. 2. Le pouvoir d'achat de sa richesse en biens qui seront commandés plus tard sera fonction des taux de change futurs, car ils détermineront la structure des commandes futures et leurs coûts en monnaie nationale.. Nous introduisons une définition de la spéculation, fondée sur le degré de cou­verture contre les risques de change. Des comportements extrêmes permettent de mettre en évidence le rôle que jouent l'information et l'aversion pour le risque dans la détermination du niveau de spéculation. Enfin nous examinons si la spéculation diminue avec le risque et avec l'aversion pour le risque. Des raisons compréhensibles par l'intuition sont données à la réponse négative, a priori surprenante, à cette question. [eng] Speculation under a flexible exchange rate system. Definitions and paradoxes. . Under a flexible exchange rate system, consumers face two kinds of risks: foreign commodities they order now, but pay for later, will have a cost in national currency which will depend upon exchange rates prevailing on payment days ; the purchase power of their wealth in goods which they will order later will change with future exchange rates because they will determine the structure of future orders and their cost in national currency.. We introduce a definition of speculation based on the degree of coverage against exchange risks. Extreme behaviors put in evidence the role of information and risk aversion in the determination of speculation. Finally we examine whether speculation decreases with risk and risk aversion. Reasons understable by intuition are given to the a priori surprising negative answers.

Suggested Citation

  • Jean-Pierre Laffargue, 1977. "La spéculation sur le marché des changes : définitions et paradoxes," Revue Économique, Programme National Persée, vol. 28(4), pages 560-580.
  • Handle: RePEc:prs:reveco:reco_0035-2764_1977_num_28_4_408337
    DOI: 10.3406/reco.1977.408337
    Note: DOI:10.3406/reco.1977.408337
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    References listed on IDEAS

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    1. Ethier, Wilfred, 1973. "International Trade and the Forward Exchange Market," American Economic Review, American Economic Association, vol. 63(3), pages 494-503, June.
    2. Diamond, Peter A. & Stiglitz, Joseph E., 1974. "Increases in risk and in risk aversion," Journal of Economic Theory, Elsevier, vol. 8(3), pages 337-360, July.
    3. Don E. Roper, 1975. "The Role of Expected Value Analysis for Speculative Decisions in the Forward Currency Market," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 89(1), pages 157-169.
    4. Shavell, Steven, 1976. "Sharing Risks of Deferred Payment," Journal of Political Economy, University of Chicago Press, vol. 84(1), pages 161-168, February.
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    1. Jean-Pierre Laffargue, 1979. "Spéculation déstabilisante en régime de changes flexibles : une approche d'équilibre général," Revue Économique, Programme National Persée, vol. 30(4), pages 650-675.

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