No CrossRef data available.
Article contents
Comment fixer les cours de change? Annonces et correspondances maastrichtiennes
Published online by Cambridge University Press: 17 August 2016
Résumé
Cette étude revient sur la distinction établie entre deux règles de fixation irrévocable des cours de change: une règle temporelle suivant laquelle le gel de la parité est programmé à une date arbitraire; une règle d'état sous laquelle cette décision résulte de l'atteinte d'un seuil par les déterminants fondamentaux. En les replaçant dans un cadre d'analyse commun, ces stratégies apparaisent en fait rigoureusement équivalentes en l'absence d'incertitude sur le déroulement de la transition. Une correspondance en termes probabilistes est établie dans un contexte stochastique plus général. Ce cadre d'analyse unifié s'avère un préalable utile pour entreprendre une relecture de la stratégie maastrichtienne en matière cambiaire et mettre à jour certaines propriétés du scénario finalement adopté par les autorités européennes.
Summary
This analysis questions the distinction between two exchange rate fixing rules: a “time-dependent” rule under which the exchange rate is fixed at an arbitrarily given date; a “state-dependent” rule under which the irrevocable switch to a peg occurs when the fundamentals reach a given threshold value. By replacing them in a common analytical framework, we underline the strict equivalence between the two rules if the fundamentals follow a purely deterministic process during the transition. In a broader stochastic context, a correspondence in probabilistic terms prevails between these strategies. This unified approach allows a new assessment of the Maastricht way to EMU as regards exchange rates. In particular, we emphasize some properties of the scenario which was finally adopted by the European monetary authorities.
Keywords
- Type
- Research Article
- Information
- Recherches Économiques de Louvain/ Louvain Economic Review , Volume 69 , Issue 1 , 2003 , pp. 39 - 71
- Copyright
- Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2003
Footnotes
*
CERESUR, Université de la Réunion, 15, Avenue René Cassin, B.R 7151, 97715 Saint-Denis Messag, Cedex 9, La Réunion, FRANCE E-mail: [email protected]
**
GRAPE, Université Montesquieu-Bordeaux IV, Avenue Léon Duguit, 33608 Pessac Cedex, FRANCE E-mail: [email protected]
References
Bibliographie
Bean, C.
(1992), Economie and monetary union in
Europe, Journal of Economie
Perspectives, 6, n°4,
automne, pp.
31–52.Google Scholar
Begg, D., Giavazzi, F.,
von
Hagen, J. et Wyplosz, C.
(1997), EMU : getting the end-game right,
Londres, Center for
Economic Policy Research, février.Google Scholar
Bertola, G.
(1994), Continuous-time models of exchange
rates and intervention, chapitre 9 in van der
Ploeg, F. (ed), The
handbook of international macroeconomics,
Cambridge, Massachusetts,
Basil Blackwell, pp.
251–298.Google Scholar
Calomiris, Ch.
(1994), Greenback resumption and silver risk
: the economics and politics of monetary regime change in the United
States, 1862–1900, chapitre 4 in Bordo, M. et Cappie, F. (eds),
Monetary regimes in transition, Cambridge
(RU), Cambridge University
Press, pp.
86–132.Google Scholar
De
Grauwe, P.
(1996), How to fix conversion rates at the
start of EMU?, CEPR Discussion Paper,
n°1530, novembre.Google Scholar
De
Grauwe, P.
(1998), L'indétermination des cours de
conversion de l'euro, Revue d'Economie
Politique, 108, n°2, mars-avril, pp.
136–156.Google Scholar
De
Grauwe, P. et Spaventa, L.,
(1997), Setting conversion rates for the
third stage of EMU, CEPR Discussion
Paper, n°1638, avril.Google Scholar
De
Grauwe, P., Dewachter, H. et
Veestraeten, D.
(1998), Stochastic process switching and
stage III of EMU, CEPR Discussion Paper,
n°1783, janvier.Google Scholar
De
Grauwe, P., Dewachter, H. et
Veestraeten, D.
(1999), Explaining recent European exchange
rate stability, International Finance,
2, n°l, janvier, pp.
1–31.Google Scholar
Djajić, S.
(1989), Dynamics of the exchange rate in
anticipation of pegging, Journal of International
Money and Finance, 8, n°4, décembre, pp.
559–571.Google Scholar
Flood, R. et Garber, P.
(1983), A model of stochastic process
switching, Econometrica,
51, n°3, mai, pp.
537–551.Google Scholar
Froot, K. et Obstfeld, M.
(1991a), Stochastic process switching : some
simple solutions, Econometrica,
59, n°l, janvier, pp.
241–250.Google Scholar
Froot, K. et Obstfeld, M.
(1991b), Exchange rate dynamics under
stochastic regime shifts : A unified approach,
Journal of International Economics, 31,
n°3/4, novembre, pp. 203–229.Google Scholar
Ichikawa, M.,
Miller, M. et
Sutherland, A.
(1992), Entering a preannounced currency
band, chapitre 6 in Krugman, P. et
Miller, M. (eds),
Exchange rate targets and currency bands,
Cambridge (RU), Cambridge
University Press, pp.
75–81.Google Scholar
Giovannini, A.
(1991), The currency reform as the last stage
of economic and monetary union : some policy questions,
NBER Working Paper, n°3917, novembre.Google Scholar
Guinnane, T.,
Rosen, H. et Willard, K.
(1995), Turning points in the Civil War :
views from the Greenback market, NBER Working
Paper, n°5381, décembre.Google Scholar
Harrison, J.
(1985), Brownian motion and stochastic flow
systems, J. Wiley & Sons,
New York.Google Scholar
Krugman, P.
(1991), Target zones and exchange rate
dynamics, Quarterly Journal of
Economics, 106, n°3, août, pp.
669–682.Google Scholar
Miller, M. et
Sutherland, A.
(1992), Britain's return to gold and entry
into the EMS : Expectations, joining conditions and
credibility, chapitre 7 in Krugman, P. et
Miller, M. (eds),
Exchange rate targets and currency bands,
Cambridge (RU), Cambridge
University Press, pp.
82–106.Google Scholar
Miller, M. et
Sutherland, A.
(1994), Speculative anticipations of
sterling's return to gold : was Keynes wrong?,
Economic Journal, 104, n°425, juillet,
pp. 804–812.Google Scholar
Obstfeld, M.
(1997), A strategy for launching the
Euro, CEPR Discussion Paper, n°1732,
octobre.Google Scholar
Obstfeld, M. et
Stockman, A.
(1985), Exchange rate
dynamics, chapitre 18 in Jones, R. et Kenen, P. (eds),
Handbook of international economics, 2,
Amsterdam, Elsevier
Science, pp.
917–977.Google Scholar
Roncalli, Th.
(1995), Initiation à la programmation sous
GAUSS, 1 et 2, coll. Gauss Series,
Paris, Global
Design.Google Scholar
Smith, G.
(1991), Solution to a problem of stochastic
process switching, Econometrica,
59, n°l, janvier, pp.
237–239.Google Scholar
Smith, G.
(1992), Britain's return to gold and entry
into the EMS : Expectations, joining conditions and credibility :
Discussion, in Krugman, P. et
Miller, M. (eds),
Exchange rate targets and currency bands,
Cambridge (RU), Cambridge
University Press, pp.
107–113.Google Scholar
Smith, G. et Smith, R.
(1990), Stochastic process switching and the
return to gold, Economic Journal,
100, n°399, mars, pp.
164–175.Google Scholar
Smith, G. et Smith, R.
(1997), Greenback-gold returns and
expectations of resumption, 1862–1879, Journal of
Economic History, 57, n°3, septembre, pp.
697–717.Google Scholar
Sutherland, A.
(1995), State- and time-contingent switches
of exchange rate regime, Journal of International
Economics, 38, n°3/4, mai, pp.
361–374.Google Scholar
Wasan, M.
(1969), First passage time distribution of a
Brownian motion with positive drift (inverse gaussian
distribution), Queen's Papers in Pure and Applied
Mathematics, n°19, Queen's
University.Google Scholar