Structure non-linéaire du taux de change et une proposition de modélisation

Abstract

Le marché de change est composé par de différents types d’agents et les anticipations sont un processus mixte qui varie en fonction de ces différents types des agents. L'interaction entre ces différentes catégories d'opérateurs peut impliquer une alternance de périodes de hausse et de baisse ainsi qu’un délai dans l’ajustement à la valeur d’équilibre. En plus, la présence des coûts de transactions dans le marché de change entraîne des déséquilibres restant non corrigés. Ces facteurs ont des implications importantes sur le processus d’ajustement du taux de change vers sa valeur d’équilibre et y injectent un caractère non linéaire en provoquant de l’incertitude sur les marchés des changes. Dans ce cas, il est difficile d’analyser la dynamique des taux de change en présence de frictions dans le marché des changes en retenant le cadre empirique des modèles linéaires standards. Par contre, le modèle STECM nous fournit une méthodologie qui permet d’étudier la non linéarité d’ajustement du taux de change vers sa valeur d’équilibre. 

Keywords

• Marché de change
• coût de transaction
• taux d’équilibre
• dynamique d’ajustement
• STECM

Döviz Kurunun Doğrusal Olmayan Yapısı ve Bir Modelleme Önerisi

Abstract

Döviz piyasası farklı davranışa sahip ekonomik oyunculardan oluşur ve beklentiler bu oyuncuların davranışlarına bağlı olarak değişiklik gösteren bir ortak süreçtir. Farklı yapıdaki bu oyuncuların etkileşimi kurun denge değerine intibak sürecinde aşağı veya yukarı yönlü dalgalanmalara ve gecikmelere yol açar. Ayrıca, döviz piyasasındaki işlem maliyetlerinin varlığı da düzeltilmemiş kalıcı dengesizliklere neden olmaktadır. Bu faktörler, döviz kurunun denge değerine intibak sürecini önemli düzeyde etkiler ve döviz piyasasında belirsizliğe yol açan doğrusal olmayan bir durum yaratır. Bu durumda, piyasadaki pürüzlerin varlığı döviz kuru dinamiğini standart doğrusal modellerle analiz etmemizi güçleştirir. Ancak, STECM modeli, bize döviz kurunun denge değerine intibakını inceleyebileceğimiz doğrusal olmayan bir yöntem sağlamaktadır

Keywords

• Döviz kuru piyasası
• işlem maliyetleri
• denge oranı
• intibak dinamiği
• STECM

References

1. Ahrens, R. et Reitz, S. (2000), “Chartist Prediction in the Foreign Exchange Market: Evidence from the Dailly Dollar/Dm Exchange Rate”, Working Paper, (2000/03), Center for Financial Studies, Francfort.
2. Anderson, H.M. (1997), “Transaction Costs and Nonlinear Adjustment Towards Equilibrium in The US Treasury Bill Markets”, Oxford Bulletin of Economics and Statistics, 59 (4): 465-484.
3. Antia Z., Murray J. et Zelmer M. (2000), “International Financial Crises and Flexible Exchange Rates : Some Policy Lessons from Canada”, Rapport Technique No. 88, Banque du Canada.
4. Balke, N. S., et Fomby T. B. (1997), “Threshold Cointegration,” International Economic Review, 38(3) : 627–45.
5. Baum, C. F., Barkoulas, J.T. et Caglayan, M. (2001), “Non-Linear Adjustment to Purcahsing Power Parity in the Post-Bretton Woods Era”. Journal of International Money and Finance, 20: 379-399.
6. Berdot, J. P. et Léonard, J. (2004), “Chartisme, Fondamentalisme et Volatilité sur les Marchés d’actions : une application au marché français (1998/2003) ”, Document de Travail, Equipe Mofib, Univérsité de Poitiers.
7. Bessec, M. (2005), “Les Economistes sont-ils Chartistes ou Fondamentalistes ? Une Enquête auprès de Quatre-vingt Chercheurs Français” Économie et Prévision, 169 : 239-249.
8. Bessec, M. et Robineau, F.M. (2003), “Comportements Chartistes et Fondamentalistes: Coexistence ou Domination Alternative sur le Marche des Changes? ” Revue économique, 54 (6) : 1213-1238.

9. Campbell J.Y. (1987), "Bond and Stock Returns in a Simple Exchange Model," NBER Working Papers, 1509.
10. Campbell J.Y. et Shiller R.J. (1987), “Cointegration and tests of present value models”. Journal of Political Economy, 95: 1062–1087.
11. Coakley, J., et Fuertes, A. M. (2001), “A Nonlinear Analysis of Excess Foreign Exchange Returns”. Manchester School, 69: 497– 516.
12. Cootner P., (1962). “Stock Prices: Random vs. Systematic Changes”. Industrial Management Review: 24-45.
13. Corbae, D. et Ouliaris S. (1988), “Cointegration and Tests of Purchasing Power Parity”. Review of Economics and Statistics, 70: 508–511.
14. De Grauwe P. et Vansteenkiste I. (2001), “Exchange Rates and Fundamentals: A Non-Linear Relationship?”, Cesifo Working Paper , 577.
15. De Grauwe P. (1994), ”Exchange Rates in Search of Fundamental Variables”, Centre for Economic Policy Research Discussion Paper, 1073.
16. De Grauwe P. et Dewatcher H. (1992), “Chaos in the Dornbush Model of the Exchange Rate”, Kredit and Kapital, 27-54.
17. De Grauwe P. et Dewatcher H. (1993), ”A Chaotic Model of the Exchange Rate: the Role of Fundamentalists and Chartists” Open Economies Review, 4: 351-379.
18. De Long J.B., Bradford J., Shleifer A., Summers L.H. et Waldman R.J. (1990) ”Noise Trader Risk in Financial Markets”, Journal Of Political Economy, 98 (4): 703-737.
19. Djoudad, R., J. Murray, T. Chan et J. Daw (2001) “Le Role des Chartistes et des Fondamentalistes sur les Marches des Changes : L’experience de l’Australie, du Canada Et de la Nouvelle-Zelande” In : Les taux de change flottants : une nouvelle analyse, actes d’un colloque tenu par la Banque du Canada, novembre 2000, Ottawa, Banque du Canada, p. 181-224.
20. Dornbusch, R. (1976), “Expectations and Exchange Rate Dynamics”. Journal of Political Economy , 84: 1161–1176.
21. Dufrénot, G. et Mignon, V. (2002) Recent Development in Nonlinear Cointegration with Applications to Macroeconomics and Finance, (Boston: Kluwer Academic Press).
22. Dufrenot, G., Lardic, S., Mathieu, L., Mignon, V. et Peguin-Feissolle, A., (2003), “Expliquer les Deviations des Taux de Change Europeens: Memoire Longue ou Ajustement Non Lineaire”, Document de travail, 24.
23. Dumas, B. (1992), ”Dynamic Equilibrium and the Real Exchange Rate in Spatially Separated World”, Review of Financial Studies, 5: 153-80.
24. Engle, R. F. et Granger C. W. J. (1987), “Cointegration and Error Correction: Representation, Estimation and Testing” Econometrica, 55: 251–276.
25. Escribano, A. (1997),” Nonlinear Error Correction: the Case of Money Demand in the U.K (1870-1970)”, Working Paper, Université de Carols III, Madrid.
26. Flood, R. P. et Taylor, M.P. (1996), "Exchange Rate Economics: What's Wrong with the Conventional Macro Approach?," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 261-302 National Bureau of Economic Research, Inc.
27. Frankel, J.A. et Froot, K.A. (1986), ”Understanding the US Dollar in the Eighties: the Expectations of Chartists and Fundamentalists”, Economic Record, 62, (special issue): 24-38.
28. Franke,l J.A. et Froot, K.A. (1990), “Chartists, Fundamentalists and the Demand for Dollars”, Courakis A.S. et Taylor M.P. (eds), Private Behavior and Government Policy in Interdependent Economies, (Oxford, Oxford University Press).
29. Friedman, M. (1953), “The Case for Flexible Exchange Rates.” Milton Friedman (eds), Essays in Positive Economics, Chicago: University of Chicago Press: 157–203.
30. Granger, C. W. J. (1986). "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, 48(3): 213-28.
31. Granger, C.W.J. et T. Terasvirta (1993), Modelling Nonlinear Economic Relationships, (Oxford: Oxford University Press).
32. Haggan, V. et Ozaki, T. (1981) “Modelling Nonlinear Random Vibrations Using an Implitudedependent Autoregressive Time Series Model” Biometrica, 68: 189-196.
33. Hong H. et Stein J. C., (1999). "Differences of Opinion, Rational Arbitrage and Market Crashes," NBER Working Papers 7376.
34. Jacks D. S., Meissner C. M. et Novy D., (2008). "Trade Costs, 1870-2000," American Economic Review, 98(2), : 529-34.
35. Jansen E.S. et T. Teräsvirta (1996), ”Testing Parameter Constancy and Super Exogeneity in Econometric Equations”, Oxford Bulletin of Economics and Statistics, novembre,58(4): 735-63.
36. Jawadi, F. et Prat G. (2008), “Nonlinear Stock Price Adjustment in the G7 Countries”, Communication presented in the 21th Australian Conference of Banking and Finance, December, 16-18, Sydney.
37. Johansen, S. et Juselius, K., (1990), “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money”, Oxford Bulletin of Economics and Statistics 52 (2): 169-210.
38. Kilian L. et Taylor, M. P, (2001). "Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?," CEPR Discussion Papers 3024.
39. Kräger H. et P. Kugler (1993), ”Nonlinearities in Foreign Exchange Markets: A Different Perspective”, Journal of International Money and Finance, 12: 195-208.
40. Lardic S., Mignon V. et Restout R. (2003), ”Couts de Transaction et Dynamique Non-Lineaire des Taux De Change : Une Verification Empirique de la PPA à l'Aide des Modeles Star ”, Working paper, MODEM.
41. Luukkonen R., Saïkkonen P. et Teräsvirta T. (1988), ”Testing Linearity against Smooth Transition Autoregressive Models ”, Biometrika, 75 (3): 491-499.
42. Maddala, G. S. (1991) “A Perspective on the Use of Limited-Dependent and Qualitative Variables Models in Accounting Research”. The Accounting Review 66 (4): 788-807.
43. Martens M., Kofman P. et Vorst T. C. F. (1998). "A Threshold Error-Correction Model for Intraday Futures and Index Returns," Journal of Applied Econometrics, 13(3): 245-263.
44. McMillan J. (2005), "Quantifying Creative Destruction Entrepreneurship and Productivity in New Zealand," Industrial Organization 0509006, EconWPA.
45. Michael P., A.R. Nobay et D.A. Peel (1997), ”Transactions Costs and Nonlinear Adjustment in Real Exchange Rates : An Empirical Investigation”, Journal of Political Economy, 105(4): 862-79.
46. Michael P., D.A. Peel et M.P. Taylor (1997), ”Ajustement Non Lineaire vers le Taux de Change d’Equilibre de Long Terme : Le Modèle Monétaire Révisité”, Revue Economique, 48(3): 653-59.
47. Murray J., Van Norden S., Vigfusson R. (1996), ”Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined?”, Rapport Technique No. 76, Banque du Canada.
48. O’Connell P. et Wei S-J (2002), “The Bigger They Are, the Harder They Fall: How Price Differences across US Cities Are Arbitraged”, Journal of International Economics, 56(1): 21-53.
49. Obstfeld M. et Taylor A. (1997), “Nonlinear Aspects of Good-Markets Arbitrage and Adjustment: Heckscher’s Commodity Points Revisited”, Journal of the Japanese and International Economies, 11: 441-479.
50. Orléan P. (1986), ”Mimétisme et Anticipations Rationnelles : Une Perspective Keynésienne ”, Recherches Economiques de Louvain, 52(5): 45-66.
51. Orléan A. (1990), ”Le Rôle des Influences Interpersonnelles dans la Détermination des Cours Boursiers ”, Revue économique, 41(5): 839-868.
52. Pavlidis E., Paya I. et Peel D. (2009), "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Working Papers 005913, Lancaster University Management School, Economics Department.
53. Peel et Taylor (2000), “Nonlinear Adjustment, Long-run Equilibrium and Exchange Rate Fundamentals”, Journal of International Money and Finance, 19: 33-53.
54. Peters E. E. (1994), Fractal Market Analysis, John Wiley & Sons Inc.
55. Rothman P., Dijk D.V. et Franses P.H. (2001), “A Multivariate STAR Analysis of the Relationships Between Money and Output”, Macroeconomic Dynamics, 5(4) : 506-532.
56. Saïkkonen, P. et Luukkonen, R. (1988) “Lagrange Multiplier Tests for Testing Nonlinearities in Times Series Models”, Scandinavian Journal of Statistic, 15: 15–68.
57. Sarantis N. (1999), “Modelling non-linearities in real effective exchange rates”, Journal of International Money and Finance, 18(1): 27-45.
58. Sargan, J. D. (1964). “Wages and prices in the United Kingdom: A Study in Econometric Methodology.” P. E. Hart, G. Mills, and J. K. Whitaker (eds.), Econometric Analysis for National Economic Planning, Vol. 16 of Colston Papers. London: Butterworth Co., pp. 25—63.
59. Sercu P., R. Uppal et C. van Hulle (1995), ”The Exchange Rate in the Presence of Transaction Costs : Implications for Tests of Purchasing Power Parity”, Journal of Finance, 50(4): 1309-19.
60. Shleifer A. (2000), Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press.
61. Taylor, M. P., Peel, D., et Sarno, L. (2001), “Nonlinear Mean Reversion in Real Exchange Rates: Toward a Solution of the Purchasing Power Parity Puzzle”. International Economic Review, 42(4): 1015-1042.
62. Teräsvirta T. (1994), ”Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models”, Journal of the American Statistical Association, 89: 208-18.
63. Teräsvirta, T et Anderson, H M, (1992), "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models", Journal of Applied Econometrics, 7(S): 119-36.
64. Uctum, R. (2007), "Econométrie des Modèles à Changement de Régimes : Un Essai de Synthèse”, L'Actualité Economique, 83(4): 447-482.
65. Usupbeyli, A. (2011), "Survol de la Littérature sur les Modèles de Taux de Change d’Equilibre : Aspects Théoriques et Discussions Comparatives", SBF Dergisi, 66(4), 125-153.
66. Van Dijk, D. et Franses, P.H. (2000), “Nonlinear error-correction models for interest rates in the Netherlands”, Barnett, W.A., Hendry, D.F., Hylleberg, S., Teräsvirta, T., Tjostheim, D., Würtz, A., (eds.), Nonlinear Econometric Modelling in Time Series Analysis, (Cambridge University Press, Cambridge): 203-227.
67. Vigfusson R. (1997), “Switching between Chartists and Fundamentalists: a Markov RegimeSwitching Approach”, International Journal of Financial Economics, 2: 291-205.
68. Youssefmir M., Huberman B.A. et Hogg T. (1994), “Bubbles and Market Crashes” Dynamics of Computation Group, Xeros Palo Alto Research Center, mimeo.