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

Year 2012, Volume: 67 Issue: 04, 147 - 171, 01.04.2012

Akın Usupbeyli

https://doi.org/10.1501/SBFder_0000002267

Cited By: 1

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

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