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Problèmes d'évaluation de la crédibilité d'une zone cible de change

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  • Velayoudom Marimoutou
  • Éric Girardin

Abstract

[eng] Problems of measurement of the credibility of an exchange rate target zone. . Recent breakthroughs in the theory of exchange rate target zones have not been followed by similar contributions on the empirical side. Most of the estimates of expected depre­ciation inside the band do not take into account the existence of the band in the information set of the agents. Such estimates are thus biased. The use of a rational expectations limited dependent variable method enables to remedy this weakness. In the case of the Franc-Mark target zone with daily data since 1989 we show that expected rates of deva­luation of the order of 2 % were still present in the early nineties. Their reappearance in the autumn of 1992 may thus not be that surprising. [fre] Problèmes d'évaluation de la crédibilité d'une zone cible de change. . Les progrès récents de la théorie des zones cibles de change n'ont pas été suivis par des contributions aussi marquantes sur le plan empirique. La plupart des estimations de la dépréciation anticipée à l'intérieur de la marge ne tiennent pas compte de la présence de cette marge dans l'ensemble d'information des agents. Ces estimations sont donc biaisées. L'utilisation d'une méthode à variable dépendante limitée à anticipations rationnelles permet de remédier à cette fai­blesse. Dans le cas de la zone-cible franc-mark avec des données quotidiennes depuis 1989, on montre que des taux de dévaluation anticipée du franc de l'ordre de 2% continuaient à subsister au début des années quatre-vingt-dix. Leur réapparition à l'automne 1992 n'est donc pas forcément surprenante.

Suggested Citation

  • Velayoudom Marimoutou & Éric Girardin, 1994. "Problèmes d'évaluation de la crédibilité d'une zone cible de change," Revue Économique, Programme National Persée, vol. 45(3), pages 501-514.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1994_num_45_3_409542
    DOI: 10.3406/reco.1994.409542
    Note: DOI:10.3406/reco.1994.409542
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    References listed on IDEAS

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    1. Lars E. O. Svensson, 1991. "The Simplest Test of Target Zone Credibility," IMF Staff Papers, Palgrave Macmillan, vol. 38(3), pages 655-665, September.
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    6. Pesaran, M Hashem & Samiei, Hossein, 1992. "An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model," Economic Journal, Royal Economic Society, vol. 102(411), pages 388-401, March.
    7. Lars E. O. Svensson, 1992. "An Interpretation of Recent Research on Exchange Rate Target Zones," Journal of Economic Perspectives, American Economic Association, vol. 6(4), pages 119-144, Fall.
    8. Krugman,Paul & Miller,Marcus (ed.), 1992. "Exchange Rate Targets and Currency Bands," Cambridge Books, Cambridge University Press, number 9780521435260.
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