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Les sources des fluctuations des taux de change en Europe et leurs implications pour l'union monétaire

Published online by Cambridge University Press:  17 August 2016

Alain DeSerres  and
René Lalonde
Alain DeSerres
Affiliation:
Banque du Canada
René Lalonde
Affiliation:
Banque du Canada
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Résumé

La présente étude traite de la question de I'union monétaire européenne é partir d'une approche empirique. L'objectif principal de l'étude est d'évaluer le degré d'asymétrie des chocs affectant un ensemble de huit pays européens stisceptibles de former le noyau d'une éventuelle union monétaire. Étant donné que la mesure qui importe le plus est le degré d'asymétrie des chocs réels, notre approche consiste à utiliser les fluctuations observées des taux de change réels comme un indicateur du degré d'asymétrie des chocs et d'en extraire les composantes réelles (qui sont permanentes) et nominales (qui sont transitoires) par le biais de l'information contenue dans le mouvement du taux de change nominal. La méthode de décomposition utilisée est celle recommendee par Blanchard et Quah [1989] et adapteé au cas des taux de change reels. De facon générate, les résultats démontrent que meme à court terme, les chocs réels constituent la principale source des fluctuations des taux de change réels. Les résultats suggérent également que l'Allemagne, les Pays-Bas et la Belgique pourraient former le noyau d'une union monétaire, alors que le Royaume-Uni et l'Espagne auraient à as-sumer des coûts d'ajustement importants. Quant aux autres pays inclus dans l'étude (la France, l'ltalie et la Suisse), ils représentent des cas intermédiaires.

Summary

Summary

The objective of this paper is to provide an empirical evaluation of the degree of shock asymmetry between eight European countries potentially forming the core of a monetary union. Given that the relevant measure is the degree of real shock asymmetry, our approach is to use the observed movement in real exchange rates as an indicator of the degree of shock asymmetry and to decompose it into real (permanent) and nominal (temporary) components, using information from the nominal exchange rate in a bivariate system. The decomposition method used is similar to that proposed by Blanchard and Quah [1989] and has been adapted to the case of exchange rates. In general, the results indicate that even in the short run, real shocks represent the dominant source of fluctuations in real exchange rates. The results also suggest that Germany, the Netherlands and Belgium together could form the core of a monetary union. At the other end, Spain and the United Kingdom could potentially face serious adjustment costs. The other countries included in the study (France, Italy and Switzerland) represent intermediate cases.

Keywords

C32F33F41C32F33
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 61 , Issue 1 , 1995 , pp. 3 - 42
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1995 

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Footnotes

(*)

Nous remercions Alain Guay, Robert Lafrance, John Murray, Pierre St-Amant et Simon van Norden pour leurs commentaires et suggestions. Cette étude a également bénéficié des commentaires que Robert Kollman, de l'Université de Montréal, nous a fait dans le cadre du Congrès de la Société canadienne de science économique. Nos remerciements vont aussi à Kevin Cassidy pour sa contribution à la mise sur pied de la banque de données. Nous assumons l'entiére responsabilité des erreurs que ce texte pourrait contenir.

References

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