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Dynamique des actifs financiers et dévaluations avec endettement extérieur

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  • Patrick Artus

Abstract

[eng] Dynamic evolution of financial assets and devaluations in an economy with foreign debt interest rate control and uncertainty on the time of devaluation. . In that paper, the effects of a devaluation are analysed taking into account wealth effects and capital gains or losses. The conditions under which the economy is stable are derived. If there is a budget deficit, recurrent devaluations are necessary whatever the interest rate policy chosen. If the devaluation is sufficiently large, it is credible since official reserves increase just after the realignment but since domestic wealth is also growing, after a while reserves start decreasing again. Introducing rational expecations of the exchange rate variations based on the probability of a devaluation in in the next future has complex effects stemming from the changes in the level of foreign debt and in the purchases of public bonds by the private sector. The analysis donc here and numerical simulations show that taking into account exchange rate expectations is likely ot make reserve losses and the need of a devaluation occur soonner. [fre] Dynamique des actifs financiers et dévaluations avec endettement extérieur. . On étudie les conséquences d'une dévaluation en tenant compte des effets de richesse de plus- ou moins-values et de patrimoine dans une économie endettée, et on analyse les conditions de stabilité de l'économie. S'il y a déficit budgétaire (alors que les prix des concurrents étrangers restent stables), les dévaluations sont nécessairement récurrentes, quelle que soit la politique de taux d'intérêt qui est menée. Si l'ampleur de la dévaluation est suffisante, elle est crédible (après la dévaluation, il y a accroissement des réserves de change), mais l'accroissement progressif de la richesse qui la suit implique, au bout d'un certain temps, le retour à une situation de perte de réserves. L'introduction d'anticipations rationnelles de variation de la parité basées sur la probabilité d'une dévaluation dans le proche futur dans les choix de portefeuille a des effets complexes, résultant des variations de l'endettement extérieur et des achats de titres publics du secteur privé. L'analyse faite et une simulation numérique montrent que, pour des hypothèses raisonnables des paramètres, la prise en compte des ancipations de change rend plus rapide la perte de réserves et le besoin d'une dévaluation.

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  • Patrick Artus, 1988. "Dynamique des actifs financiers et dévaluations avec endettement extérieur," Revue Économique, Programme National Persée, vol. 39(5), pages 973-998.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1988_num_39_5_409109
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    References listed on IDEAS

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