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Cointégration entre les taux de change et les fondamentaux : changement de régime ou mémoire longue ?

Author

Listed:
  • Gilles Dufrénot

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Sandrine Lardic

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Laurent Mathieu

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique, C3ED - Centre d'économie et d'éthique pour l'environnement et le développement - UVSQ - Université de Versailles Saint-Quentin-en-Yvelines)

  • Valérie Mignon

    (CEPII - Centre d'études prospectives et d'informations internationales)

  • Anne Peguin-Feissolle

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

Abstract

Our object is to study the adjustment process of five European exchange rates toward their fundamentals on the 1979-1999 period. We consider two approaches, namely nonlinear cointegration and fractional cointegration, in order to discriminate between nonlinear short memory and linear long memory adjustment dynamics. The persistent deviations observed between the French real exchange rate and its fundamentals can be explained by the presence of long memory in the adjustment process.

Suggested Citation

  • Gilles Dufrénot & Sandrine Lardic & Laurent Mathieu & Valérie Mignon & Anne Peguin-Feissolle, 2004. "Cointégration entre les taux de change et les fondamentaux : changement de régime ou mémoire longue ?," Post-Print halshs-00390151, HAL.
    • Handle: RePEc:hal:journl:halshs-00390151
    DOI: 10.3917/reco.553.0449
    as

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    Keywords

    exchange rate; long memory; Coïntégration; taux de change; mémoire longue;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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