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Ajustement non linéaire vers le taux de change d'équilibre à long terme. Le modèle monétaire revisité

Author

Listed:
  • Panos Michael
  • David A. Peel
  • Mark P. Taylor

Abstract

[fre] Ajustement non linéaire vers le taux de change d'équilibre à long terme. Le modèle monétaire revisité. . Nous réexaminons la famille des modèles monétaires à travers l'examen d'un ajustement non linéaire vers un modèle monétaire d'équilibre à long terme. En uti­lisant des données trimestrielles pour le taux de change dollar-livre sterling et les fondamentaux associés au modèle monétaire sur la période des changes flot­tants, on met en évidence la présence d'une relation de coïntégration correspon­dant au modèle monétaire de long terme. En outre, des preuves tangibles sont apportées concernant la non-linéarité dans l'écart (la déviation) estimé par rapport à l'équilibre qui est bien approximé par un modèle autorégressif exponentiel de transition lissée (ESTAR) dont les paramètres suggèrent un ajustement, relative­ment lent et non linéaire du taux de change vers un l'équilibre monétaire de long terme. [eng] Non-linear adjustment towards long-run exchange rate equilibrium : the monetary model revisited. . We re-examine the monetary class of models through an investigation of non­linear adjustment towards a long-run equilibrium monetary model. Using quarterly data on the dollar-sterling exchange rate and associated monetary model fundamentals for the US and the UK over the floating rate period, we find evidence of non-linearity in the estimated deviation from equilibrium which is well approximated by an exponential smooth transition autoregressive (ESTAR) model, the parameters of which suggest relatively slow and non-linear adjustment of the nominal exchange rate towards long-run monetary equilibrium.

Suggested Citation

  • Panos Michael & David A. Peel & Mark P. Taylor, 1997. "Ajustement non linéaire vers le taux de change d'équilibre à long terme. Le modèle monétaire revisité," Revue Économique, Programme National Persée, vol. 48(3), pages 653-659.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1997_num_48_3_409904
    DOI: 10.3406/reco.1997.409904
    Note: DOI:10.3406/reco.1997.409904
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    References listed on IDEAS

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    1. Robert P. Flood & Mark P. Taylor, 1996. "Exchange Rate Economics: What's Wrong with the Conventional Macro Approach?," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 261-302, National Bureau of Economic Research, Inc.
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