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

Gilles Dufrénot (), Sandrine Lardic (), Laurent Mathieu (), Valérie Mignon () and Anne Peguin-Feissolle ()
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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

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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.

Keywords: exchange rate; long memory; Coïntégration; taux de change; mémoire longue (search for similar items in EconPapers)
Date: 2004
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Published in Revue Economique, 2004, 55 (3), pp.449-458. ⟨10.3917/reco.553.0449⟩

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Journal Article: Coïntégration entre les taux de change et les fondamentaux. Changement de régime ou mémoire longue ? (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00390151

DOI: 10.3917/reco.553.0449

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