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Le marché des changes est-il efficient ?

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  • Michel Galy

Abstract

[eng] Is the foreign exchange market efficient? . . The issue of foreign exchange market efficiency is raised once again. The Uncovered Interest Parity test is applied, using the SUR methodology, to two groups of currencies — those Hoating against the US dollar and those abiding by the rules of the exchange rate mechanism of the European Monetary System — in an attempt to determine whether the refection of UIP pervading most of the recent literature is related somehow to the exchange rate regime. Based on the positive outcome of the test, some conclusions are offered on the relevance of sterilized interventions and the conduct of monetary policy within the GV and EMS countries. [fre] Le marché des changes est-il efficient ? Une comparaison entre les monnaies flottantes et celles du mécanisme de change européen. . Le thème de l'efficience du marché des changes est, de nouveau, abordé. Le test de la Parité des taux d'intérêt non couverts est appliqué, en utilisant la méthode SUR, à deux groupes de monnaies - celles flottant contre US dollar et celles du Système monétaire européen respectant les marges de fluctua­tions du Mécanisme de change - afin d'identifier le rôle éventuel joué par le régime de change dans le rejet de la PTI mis en évidence par la plupart des auteurs au cours de la période récente. Les résultats positifs obtenus permet­tent de tirer quelques enseignements sur l'orientation souhaitable des politiques monétaires et de change dans les pays du GV et du SME.

Suggested Citation

  • Michel Galy, 1988. "Le marché des changes est-il efficient ?," Revue Économique, Programme National Persée, vol. 39(5), pages 913-920.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1988_num_39_5_409106
    DOI: 10.3406/reco.1988.409106
    Note: DOI:10.3406/reco.1988.409106
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    1. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
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    1. Rahim Loufir & Catherine Bruno & Pascal Jacquinot, 1992. "L'efficience et la formation des anticipations sur le marché des changes," Revue de l'OFCE, Programme National Persée, vol. 42(1), pages 249-282.

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