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De la flexibilité des taux de change et de ses conséquences macroéconomiques [La détermination des taux d'intérêt et des taux de change dans le modèle MIMOSA ]

Author

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  • Agnès Bénassy
  • Murielle Fiole
  • Emmanuel Fourmann
  • Henri Sterdyniak

Abstract

[eng] This paper presents a first attempt to endogenize exchange rates and interest rates in the MIMOSA multinational macroeconometric model, jointly built and used by the CEPII and the OFCE. We briefly survey the hypothesis, structure and properties of the main models proposed by the economic theory : expectations specification, monetary policy description, wealth effect and external constraint. Others multinational models specifications are classified. Then, we justify the choice of a specification combining a portfolio approach, monetary authorities reaction functions and semi-rational expectations by private agents. Estimation results for the financial behaviors and new simulation properties for the integrated MIMOSA model are then presented. At last, exogeneous financial hypothesis made by the MIMOSA team for its 1991 forecast are evaluated using the new integrated model. [fre] Cet article présente une première tentative pour rendre endogènes les taux d'intérêt et les taux de change du modèle macroéconomique multinational MIMOSA, construit et géré conjointement par le СЕРН et l'OFCE. Les hypothèses, la structure et les propriétés des principaux modèles proposés par la théorie économique pour expliquer l'évolution des taux de change sont d'abord discutées : formation des anticipations, description de la politique monétaire, prise en compte de la contrainte extérieure et des effets de richesse... Les solutions choisies dans les autres modèles multinationaux sont exposées. Nous justifions alors le choix pour MIMOSA d'une spécification combinant un modèle de portefeuille, des fonctions de réaction des autorités monétaires et des anticipations semi-rationnelles des agents privés. Par la suite sont présentés les résultats des estimations économétriques des comportements financiers et les nouvelles propriétés variantielles du modèle MIMOSA intégré financièrement. Enfin, sont évaluées grâce au modèle intégré les hypothèses exogènes retenues pour la projection MIMOSA en 1991 pour les taux de change et les taux d'intérêt.

Suggested Citation

  • Agnès Bénassy & Murielle Fiole & Emmanuel Fourmann & Henri Sterdyniak, 1992. "De la flexibilité des taux de change et de ses conséquences macroéconomiques [La détermination des taux d'intérêt et des taux de change dans le modèle MIMOSA ]," Revue de l'OFCE, Programme National Persée, vol. 40(1), pages 201-247.
    • Handle: RePEc:prs:rvofce:ofce_0751-6614_1992_num_40_1_1273
    DOI: 10.3406/ofce.1992.1273
    Note: DOI:10.3406/ofce.1992.1273
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    1. Branson, William H. & Henderson, Dale W., 1985. "The specification and influence of asset markets," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 15, pages 749-805, Elsevier.
    2. David T. Coe & Richard Herd & Marie-Christine Bonnefous, 1987. "International Investment-Income Determination in INTERLINK: Models for 23 OECD Countries and Six Non-OECD Regions," OECD Economics Department Working Papers 45, OECD Publishing.
    3. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    4. Deborah J. Danker & Richard A. Haas, 1985. "Small empirical models of exchange market intervention : applications to Germany, Japan, and Canada," Staff Studies 135, Board of Governors of the Federal Reserve System (U.S.).
    5. Robert A. Mundell, 1962. "The Appropriate Use of Monetary and Fiscal Policy for Internal and External Stability," IMF Staff Papers, Palgrave Macmillan, vol. 9(1), pages 70-79, March.
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