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Hétérogénéité et interactions des agents sur le marché des changes

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  • Pierre Laurent

Abstract

[eng] This paper presents theoretical explanations of some "anomalies" in the foreign exchange market. We try to explain the source of endogeneous fluctuations in aggregate behavior which are not caused by exogeneous shocks to the system. The underlying hypothesis is the heterogeneity of agents. This hypothesis is crucial to understand the swings of opinion in a speculative market, and how these swings may be transmitted into market prices. We examine different types of heterogeneity (heterogeneity of actions and cognition) in exchange rate models, and the interaction processes between the different groups of agents. Then, we consider a market model in which heterogeneous agents communicate with each other. Changes in opinion occur as a result of bilateral stochastic interactions, with endogeneous probabilities of contagion. The contagion depends on the precision of information and on the "risk of opinion ", a risk due to the behaviour of agents themselves. Simulations of this artificial exchange rate market show different market configurations. According to agent's behaviour and the market's characteristics, speculation may be a source of stabilization, a cause of volatility of the origin of durable instability. [fre] Pierre Laurent Hétérogénéité et interactions des agents sur le marché des changes. L'hypothèse d'hétérogénéité des agents est cruciale sur les marchés spéculatifs. Après avoir analysé comment cette hypothèse est traitée dans les modèles de détermination des taux de change, on présente un modèle où plusieurs types d'agents s'échangent des informations sous la forme de rencontres bilatérales aléatoires. Ces interactions prennent en compte la dimension d'imitation et les phénomènes de groupes existant sur ces marchés. Il s'agit d'endogéniser les mécanismes de contagion, déterminés à la fois par la précision de l'information et le « risque d'opinion » de chaque groupe d'agents. Une série de simulations permet de dégager différentes configurations de marché et, par là-même, de comprendre l'origine des anomalies que l'on rencontre de façon chronique sur le marché des changes.

Suggested Citation

  • Pierre Laurent, 1995. "Hétérogénéité et interactions des agents sur le marché des changes," Revue Française d'Économie, Programme National Persée, vol. 10(1), pages 87-113.
    • Handle: RePEc:prs:rfreco:rfeco_0769-0479_1995_num_10_1_973
    DOI: 10.3406/rfeco.1995.973
    Note: DOI:10.3406/rfeco.1995.973
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    References listed on IDEAS

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    1. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    2. Alan P. Kirman, 1992. "Whom or What Does the Representative Individual Represent?," Journal of Economic Perspectives, American Economic Association, vol. 6(2), pages 117-136, Spring.
    3. André Orléan, 1990. "Le rôle des influences interpersonnelles dans la détermination des cours boursiers," Revue Économique, Programme National Persée, vol. 41(5), pages 839-868.
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