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Le taux de change du dollar contre le mark suit-il une dynamique non-lineaire? Une evaluation empirique sur donnees infra-journalieres

Published online by Cambridge University Press:  17 August 2016

Jérôme Drunat ,
Gilles Dufrénot  and
Laurent Mathieu
Jérôme Drunat
Affiliation:
IREFI - Université Paris 12
Gilles Dufrénot
Affiliation:
ERUDITE - Université Paris 12
Laurent Mathieu
Affiliation:
C3ED-MODEM -Université de Saint-Quentin en Yvelines
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Résumé

Cet article présente une étude empirique relative aux dynamiques non-linéaires sur données à haute fréquence. Les séries de cotation utilisées sont celles du Dollar contre le Mark sur le marché londonien durant l'année 1994. Nous montrons que le caractère leptokurtique et asymétrique des distributions peut s'expliquer par la présence de non-linéarités dans la moyenne ou dans la variance conditionnelle des taux de rendement. Nous utilisons le test KPSS et le test du bispectre qui paraissent bien adaptés à nos séries. La composante non-linéaire de la variance conditionnelle est décrite par des processus IGARCH avec loi de Student sur les résidus. Nous estimons en outre des modèles bilinéaires qui révèlent la présence de composantes non-linéaires dans la moyenne conditionnelle.

Summary

Summary

This paper presents an empirical study of non-linear dynamics in high frequency data. We use quotations of the Dollar/Mark exchange rates on the London market during the year 1994. We show that leptokurtic and asymmetric distributions in several rates of return are due to the presence of stochastic nonlinearities in either the conditional variance or the conditional mean. Tests such as the KPSS for stationarity and the bispectrum for linearity perform well to our data. Two kinds of models are proposed to model both the volatility and the instability of exchange rates. We first estimate IGARCH processes with Student distributions for the residuals. We also build bilinear models to exhibit non-linear patterns in the conditional mean of the series.

Keywords

C22C32C51C22C32C51
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 64 , Issue 2 , 1998 , pp. 159 - 182
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1998 

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Footnotes

*

Plusieurs parties de cet article ont été présentées au colloque « Forecasting Financial Markets; Advances for Exchange Rates, Interest Rates and Asset Management », qui s'est tenu à Londres les 22, 23 et 24 Mars 1995, au congrès annuel de l'A.F.S.E. qui s'est tenu à Paris les 21 et 22 Septembre 1995, ainsi qu'aux journées des jeunes économètres de Dijon, les 21, 22 et 23 Mai 1997. Nous remercions les participants à ces congrès pour leurs remarques, en particulier Gilbert Abraham-Frois, Hervé Alexandre, Georges Bresson, Christian Dunis, Christian Gourieroux et Marie-Claude Pichery. Nous avons une dette particulière envers Sandrine Lardic et les deux rapporteurs anonymes de cette revue dont les remarques ont permis d'améliorer les versions successives de l'article.

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