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Une approche déterministe du taux de change euro-dollar

Jean-François Goux

Economie & Prévision, 2010, vol. n° 195-196, issue 4, 35-51

Abstract: The time series of the euro/dollar exchange rate can be analyzed correctly by incorporating a discontinuity in the form of a ?thick transitory break?. If we examine the period from the Louvre agreements to March 2009 but eliminate the euro?s initial years, we can conclude that the rate is level-stationary or trend-stationary, and thus that a self-correcting mechanism returns the rate to an equilibrium level (or trend). We demonstrate this effect using a new test procedure based on the elimination of ?thick transitory breaks?. More generally, we confirm the assumption that, thanks to the existence of deterministic trends with breaks, exchange-rate variations can be explained without necessarily referring to fundamentals.

Keywords: euro/dollar exchange rate; stationarity; breaks (search for similar items in EconPapers)
Date: 2010
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