Le comportement des taux de change réels européens de la fin Bretton Woods à l’adoption de l’euro

Rey, Serge and Varachaud, Pascal (2000): Le comportement des taux de change réels européens de la fin Bretton Woods à l’adoption de l’euro.

Abstract

This article examines the PPP hypothesis, i.e. the proposition that the real exchange rates are stationary, in the case of Europe. For that purpose, we study the statistical properties of 14 European bilateral real exchange rates against the Deutschmark, over the periods snake and EMS. These rates are constructed using different indexes: consumer prices, wholesale prices and unit labor costs. The results of unit-root tests show that globally there is little evidence to support PPP, i.e. the stationarity of the real exchange rates. At the most, some mean-reverting processes are verified. Furthermore, general PPP with consumer prices is only verified between France and Germany. Whether the country is a member of the snake and/or of the EMS have not influence on results.

• Item Type: MPRA Paper
• English Title: The behavior of European real exchange rates from the Bretton Woods system end to the adoption of the euro
• Language: French
• Keywords: Real exchange rate, PPP, EMS, unit roots, long memory, mean-reversion, structural breaks.
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; F - International Economics > F1 - Trade > F15 - Economic Integration; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics

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