Comment fixer les cours de change?. Annonces et correspondances maastrichtiennes

Jean-Sébastien Pentecôte () and Marc-Alexandre Senegas

Recherches économiques de Louvain, 2003, vol. 69, issue 1, 39-71

Abstract: Comment fixer les cours de change ? Annonces et correspondances maastrichtiennes, by Jean-Sébastien Pentecote and Marc-Alexandre Senegas 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: EMU; state- and time-dependent rules; switch to fixed exchange rates. (search for similar items in EconPapers)
Date: 2003
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