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Comment fixer les cours de change? Annonces et correspondances maastrichtiennes

Published online by Cambridge University Press:  17 August 2016

Jean-Sébastien Pentecôte  and
Marc-Alexandre Sénégas
Jean-Sébastien Pentecôte
Affiliation:
CERESUR, Université de la Réunion
Marc-Alexandre Sénégas
Affiliation:
GRAPE, Université Montesquieu-Bordeaux IV
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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

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

UEMrègles temporelles et d'étatpassage aux changes fixesE4E5F3EMUstate- and time-dependent rulesswitch to fixed exchange ratesE4E5F3
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 

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Footnotes

*

CERESUR, Université de la Réunion, 15, Avenue René Cassin, B.R 7151, 97715 Saint-Denis Messag, Cedex 9, La Réunion, FRANCE E-mail: pentecot@univ-reunion.fr

**

GRAPE, Université Montesquieu-Bordeaux IV, Avenue Léon Duguit, 33608 Pessac Cedex, FRANCE E-mail: senegas@montesquieu.u-bordeaux.fr

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