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Une évaluation empirique de l'efficience du marché des changes

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  • Frédérique Bec
  • Mélika Ben Salem
  • Emma Ben Youssef

Abstract

[eng] An empirical testing of exchange market efficiency hypothesis . . This paper develops an empirical analysis of the exchange market efficiency hypothesis, based on its implications for the VAR representation. It proposes an extension of the existing tests. Using daily data for the main nominal exchange rates vis-a-vis the US dollar - namely the Japanese Yen, the British Pound, the Deutschmark and the French Franc - over the period spanning January 1980 to March 1994, Johansen's tests of cointegration are performed: the market efficiency hypothesis cannot be rejected form these results. It is thus necessary to complete the analysis with Granger causality tests. This provides results rejecting the martingale implication of the efficiency hypothesis. [fre] Une évaluation empirique de l'efficience du marché des changes. . Cet article développe une analyse empirique de l'hypothèse d'efficience du marché des changes, reposant sur le test de ses implications en termes de repré­sentation VAR. Il propose une extension des tests existants réalisés dans ce cadre. À partir de données quotidiennes sur les principaux taux de change nomi­naux par rapport au dollar, pour la période allant de janvier 1980 à mars 1994, les tests de coïntégration de Johansen sont mis en œuvre : l'hypothèse d'efficience ne peut être rejetée sur la base des résultats obtenus. Il est donc nécessaire de poursuivre l'analyse par des tests de causalité réalisés à partir des coefficients auto-régressifs du modèle VAR. Ils ne sont pas compatibles avec l'implication de martingale de l'hypothèse d'efficience.

Suggested Citation

  • Frédérique Bec & Mélika Ben Salem & Emma Ben Youssef, 1997. "Une évaluation empirique de l'efficience du marché des changes," Revue Économique, Programme National Persée, vol. 48(4), pages 921-936.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1997_num_48_4_409922
    DOI: 10.3406/reco.1997.409922
    Note: DOI:10.3406/reco.1997.409922
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    References listed on IDEAS

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    1. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
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