Taux de change réel d`équilibre pour un PED
Transcription
Taux de change réel d`équilibre pour un PED
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α . + α 0 + α 8 + α ?τ . α Mα8 + β . + β 0 + β8 = = /0 1 1 β +δ . α 0 O1 N1 /-0 β 0 M β 8 O1 N1 /10 1 δ + φ . + φ0 .P + φ8 φ /20 φ0 M φ8 N1 O1 /30 , = ρ , + / − ρ2 , 1OρO /40 , = 5, + / − 52 , + τ 1O5 O M τ N1 /60 , = 7 −π /80 , = /7 − π 2 + 9 1O O /:0 , = + ,P + τ / ;0 = + ,P − , / 0 7 =λ, 7 = ν 7 + / −ν 2 7 − λ N1 / -0 1 ≤ν ≤ / 10 7 =7 + = 1 / 20 + + 0 / . − .P 2 + 8 / − = / 2Q = − = 1 + #& + ' 0 P 2 N1 0 M 8 O1 / 30 − /π − π P 2 + / 40 8 / − P 2 M 0 M 8 N1 / 60 % " & /.2M / 2M $ / 2M / 2" / 2 & / 2 $ ) R " S 6 " I R " " $ $ " $ & $ + * $ E " & A /3 55 2 $ " E & % # " " " ) " L $ $ / 2" $ $ $ " " L $ $ -K / 55?2 $ $ $ " / 2 / 2 H $ * . T # " & / .P 2 /.2 / 2 $ $ $ $ ) " " I " * & % $ 4 # " 4 - 01102 * % " /' %F A L " + $ ) # # " & " " 559" + / " 1 2 : $ " /62 # / ?2" $ " % $ # - " " & # # $ $ /, 2 /ρ2 $ /,2 / , 2" $ /, 2 /, 2 /5 2 # "# & # $ $ / τ 2" # " # $ $ % / 92 /* 5552 L $ / 2# / 92 ) $ " I ! $ " $ # $ T " S /,2 S / ,P 2" $ *$ " " & / ,P 2 / 2" /τ 2 # $ $ "# $ I " $ & $ & & $ 9 $ U $W H < = " " V " % % # $ & $ & " ? $ & # $ /D 5592 L / λ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π −π P 2 $ / = # 2 #& #! & $ & $ & * $ $ % $ $ $ & # " $ − 7 2 − 5 /π , = 5/7 7 = νλ , + / − ν 2 7 7 =7 & − π 2 + /7 − π 2 + −ρ ρ + 5 9 +τ − + $ $ $ S " $ ) # " + $ $ $ $ $ *$ " # C $ # R $ % $ & /7 = 7 C /λ = 2 5 /π − 5 = −π & $ 2− $ $ − ρ ρ/ − 52 $ − + π 2 $ C − 5 9 −τ − 5 & $ $ $ # " $ " * $ $ $ $ = + σ 1 − X/ $ 5 <α 8 X/ π σ / − 5 2 − <φ 6 $ 0 2 . P − π − 0 2 + /π − π P 9 + τ 2 − + / " C − 5 2β 5α 8 $ Y $ # " " & $ $ & & " " $ + % $ & σ σ = Y 0 & 6 8 < 0 Xρ / − 5 2/α 0 + β 0 + φ 8 2 − α 8 / − ρ 2Y + ρ / − 5 2/ ρ / − 52 0 τ 1 + 2 " " 0 * $ $ # ' A 4 / 5552" (" $ # % " $ $ # #" $ " + H L & $ $ , ! " $ " $ $ $ " " $ $ C H $ & " $ # $ $ $ & & 4 # " & " H /τ 2 & ! & $ /σ 2 ! " " " /92 $ " & ! / 2 " $ " Z $ + " $ $ $ # $ # $ $ $ $+ $ " & " " " I Q " $ $ " ) 8 $ + " " $ + $ $ * " $ T $ # $ & " $ I $ $ # / <φ0 # $ & 2 *$ L $ $ " " & " ) " " $ $ " , $ " *$ & D!( + $ # (! $ ' $ ' ( " $ $ * $ $ & $ " F # " " $ " & " $ " $ " 4 $ "3 $ $ "4 ! $ " 567 [ 0118 " % ? (& ! ) & & & $ " L " " H / τ 2" $ # H /92 " / 2 /π −π 2 $ $ C 3 " !" 4 !$=" " ?$! " >=" " #=@ " A$ = '$ $ $ " & !$= / 2 $ & " % + " @4 : # " ! " $ # $ ' & %F A Q " L $ / 5572 # $# % " $ " # $ 551 " & 567%0118" " $ L 7 & 51\ $ L $ % R" : % D " & " @4 " ] # / 55:2 J /011?2 V # 7 >= / 2 # /π −π 2 ! " " $! & " ?$! / 2 $ # L C & 3 & # " 4 # /π −π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∆A = 1 + π .. A − + π . + B = /A " &2 *$ * %D * + − ,− =1 β `∆ B − + δ `∆ & + φ ( − + $ $ 9 & / 5552 M (− $ $ : L # " $ " $ $ $ " R " $ # 551 $ D " & $ # 1 & $ # " $ 1# 0" *$ " & / 2 $ 4* $ " $ ! " " # "# " $ $+ 4* % " $ $ % " 4 *F" + " $ & $ !* 4 $ & , *" # 3 $! 2 & 0 $ 4 $ $ " & " / 4 2" " /! $ # " & & S ,* $ & $ 0" ! " χ a /?2 $ $ & $ " % & " " " % #0 ,* , # " $ # & & !* 9 & @ > & /A − 2 /011 2 / 2 % * " $ # # $ & " . /! & /12 02 $ 4* $ $! 3 4 4* + 4 " 0 F $ " $ " # $ 4* * *),)4 ; K " %' *),)4 ,T /! " " # & 4 82 " " $ 4* " & & " $ & " $ L " $ $! # " & *),)4 ,T 55 $ & # " & C & $ " A $ " $ " # $ 3 " 4 & $! " & $ /! & 4+ + ?2" 4* " 5 - D !$ , 5 :43 -;;1 3)L , 4 !(F* ! B ( / 3* (32 / 3* (4 2 / 3* (!2 * * * 8 17 7 :99? 11 %8 7?76 59 9 11 % 0:? 905: :?? %%%%% %%%%% %%%%% % 10 6 11?0 111 %%%% %%%%% %%%%% / 3* (/% 22 %%%%% %%%%% %%%%% %%%%% %%%%% %%%%% ?01 65: 10 !B(/% 2 % ?7:7 877 118 9 5 155 191 188? 779 980 05 * 3( L / !B(2 6 1998 010 7 9 199? 1 1 :9 6?: / !B(/% 22 08 07 178 % 0 5? 19?? 1 6 %%%%% %%%%% %%%%% , */% 2 176 1056 1:8 01: 1657 15: % 11?? 1 :8 910 / , *2 1? 9 1506 676 01: 15 9 010 % 11? 1??9 509 / , */% 22 %%%%% %%%%% %%%%% % 0809 1:?8 117 % 1:6: 1?88 195 (F /% 2 % 06: 00:8 111 1? 6 00 ? 978 7 98? ? 5 (F 2 % 8500 88: 119 7?: :5: 116 971 6066 99 (F /% 22 6 70 65? 11 %%%%% %%%%% %%%%% %%%%% %%%%% %%%%% _ 3(/% 2 055 1676 111 605: 9: 111 % 187 1659 600 / _ 3(2 156 178? 196 ?0?8 19?5 111 % 1767 001 6?9 1?7 111 %%%%% %%%%% %%%%% %%%%% %%%%% %%%%% 1 :0 10:8 787 9 1071 6? % 6:17 856 111 / / % 01 / _ 3(/% 22 /% 2 10: 1 9 188 10 0 1 70 :6 2 10?8 1 07 16? 1 9 1 80 9? % 888 189 11? % 091: 19 : 110 / D/% 2 , L (ab1 :9 > b 99 (ab1 :5 C %%%%% %1 > b0 0 (ab1 : > b0 1 & +! ' $ $ $ 4* # L # + $ $ 4 # # $ & & $ " 4* & # 4* $# $ # " S 01 & " $ # & # " # A5 E ! " + # $ *$ L ,-"." !=$ = 5 19 − 1 8?8 >=+ 1 07 ?$! − 8 ?68 #=@ + 1 65 A$ =+ 1 8: ' $ / !=$ = − 0 :7 − 1 1:: + >=+ 1 96 ?$! + 1 :9 #=@ + 0 87 A$ =+ 1 10 ' $ $0 !=$ = 1 5? − 1 088 $ " >=+ 1 180 ?$! + 0 :0 #=@ + 1 1117 A$ =− 1 16 ' $ &" # $ !$= − !=$ $? C = 3*( $ C ×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é s a ju s t e m e n t d u t a u x d e c h a n g e e ffe c t if r é e l t u n is ie n E v o lu t io n d e s t a u x d e c h a n g e r é e ls e n T u n is ie 12 5 .2 5 .1 8 5 .0 4 .9 4 4 .8 4 .7 0 4 .6 4 .5 -4 4 .4 4 .3 -8 65 70 75 80 85 90 LTC E R T 95 65 00 70 75 80 85 90 95 00 en % LTC R E T " & $ 591 $ 551 & $ L " $# $ % $ 7 ?\ 591" #C $ " 596" I M $ " H ?\" + $ " " % I " # + $ & $ $ $ " * $ " * " / 5552 ! ' " $ - & $ 596" $ $ $ " # $ & & \ & 5:0 # " [7\ $ " 5:0 # ' 0?\ " $ $ " ,* /01112 $ $ " $ " $ # $ $ * $ 0? $ # & 3 $ " & # 551 & $ & # " $ & + & # & # + " " # $ $ $ $ $ $ $ 591 T " & " H " $ + + " " I * " 59?%96" 6 # 9\ * 3 " $ $ $ $# 567 $ & 9\ 56: 5: " $ # $ $ & D é s a ju s t e m e n t d u t a u x d e c h a n g e e ffe c t if r é e l m a r o c a in E v o lu t io n d e s t a u x d e c h a n g e r é e ls a u M a r o c 10 5 .1 5 .0 5 4 .9 4 .8 0 4 .7 4 .6 -5 4 .5 4 .4 65 70 75 80 85 LTC R E M 90 95 -1 0 00 65 70 75 LTC E R M $ & 90 95 00 $ # * $ C M 85 en % $ & 80 M " $ G" M 07 I # $ $ F *$ " " 55 9\ # # $! 599 " A% 596 %9\ " $ $ $ 599 & 55 " $ % D é s a ju s t e m e n t d u t a u x d e c h a n g e e ff e c t if r é e l a lg é r ie n E v o lu t io n d e s t a u x d e c h a n g e r é e ls e n A lg é r ie 8 5 .4 5 .2 4 5 .0 4 .8 0 4 .6 4 .4 -4 4 .2 4 .0 3 .8 -8 65 70 75 80 85 LTC R E A 90 95 00 65 70 75 80 85 " $ 90 95 00 en % LTC E R A # " " $ % & , & " $ " " $ $ C $ $ 591 " $ ! % $ $ $ * $ * $ - & + " # + # $ * " 4 " ! " " $ " 3 06 -- 1 . ! C, $ ! !* $ 3 ,* , ca / 2 ca /?2 !* 3 ,* ca / 2 ca /?2 3)L , %8 15 %0 78 1 ? 7 97 %8 ? %0 60 18 7 90 0 %8 : %0 99 1 0? 0 9P %8 :6 %0 59 1 07 0 7P 8 %8 85 %0 05 0: 6 7P %8 ?8 %0 8? 1 9: 0 0P 4 !(F* %8 95 %8 88 18 8? %8 7? %8 10 7 66P : 06 0 %? 11 %8 : ? 1:P 07 P %8 60 %0 9? 8 87 1 ?P 8 %8 5: %0 9: 0 75 8 :P %8 ?0 %0 8: 1 86 81 6P 5 9P % ?7 %1 58 1 86 9 01 % ?0 %1 68 1 8: 5 ?P % 8 %1 07 76 ?8 ! B ( % ?8 %1 9: 08 0 % 89 %1 77 1 89 8P 8 % 8? %1 08 1 66 01 :P L ! CP 7\ 0C, @ $ 3 3 , 3 @D @D 3 3)L , 78 P 6 1?P %8 51PP 6 1?P %8 0 PP 4 !(F* ? 7?P 1 ?9 %8 6?PP 1 75 %0 59PP 0 95PP 8 0:PP %? 01PP ? 16P %? 81PP ! B ( L ! $ CP PP @ S # $ 7\ % # $+ /011 2 π. b1" + & " @D @D $ $ /0 9 M 8 5?2 M /0 65 M 8 982 / π .. b12 /%8"? M %?"972 π .. b1" π . @ /0 80 M 8 712 /%0"96 M %?"7:2 π .. b1 @ b1" b1 $ " # 57\" @ D" @D " # 57\" D $ # @ @ " " " 0: !LL c 8 C 3 *),)4 *),)4 ,T 3)L , 1 .6 15 10 1 .2 5 0 .8 0 0 .4 -5 0 .0 -1 0 -1 5 82 84 86 88 90 92 94 CUSUM 96 98 00 -0 .4 02 82 84 86 5 % S ig n if i c a n c e 88 90 92 94 C U S U M o f S q u a re s 96 98 00 02 5 % S ig n ific a n c e 4 !(F* 1 .6 15 10 1 .2 5 0 .8 0 0 .4 -5 0 .0 -1 0 -1 5 -0 .4 82 84 86 88 90 92 94 CUSUM 96 98 00 02 82 84 86 88 90 92 94 96 C U S U M o f S q u a re s 5 % S ig n ific a n c e 98 00 02 5 % S ig n ific a n c e ! B ( 1 .6 15 1 .2 10 5 0 .8 0 0 .4 -5 0 .0 -1 0 -1 5 -0 .4 82 84 86 88 90 92 CUSUM ! 94 96 98 00 82 02 84 86 88 90 92 94 C U S U M o f S q u a re s 5 % S ig n ific a n c e 96 98 00 02 5 % S ig n ific a n c e ?C, 4.85 4.88 5.4 4.80 4.84 5.2 4.75 4.80 4.70 4.76 4.65 4.72 4.60 4.68 4.55 4.64 4.50 65 4.60 5.0 4.8 4.6 70 75 80 LTCERT 85 90 95 LTCERTF 00 4.4 4.2 4.0 65 70 75 80 LTCERM 85 90 95 LTCERMF 00 3.8 65 70 75 80 LTCERA 85 90 95 LTCERAF 00 09 2 - . " <( $ 3 =" ( " " $ " "<! 3 C) & " " 17%8 3 Ld 6Q " * *" K Ld8?Q " * *" , B " D 80" K/ C> "<, 2" ' A F ! 551C? =" ! " 0:" =" ) " < # $% " < 3 7?9%56 & ! # $ =" ( ?17%6? ( "6 " 00 % * C 5: C % 4 % 1 %5 ; C!( "< " " 7 /82" 4 " # J LE " 1" "" < ( 75 %61? =" " ; 0:5%56 C * " ! :0/62" %@ % =" K > 1/ 2" K H " 4 FL3 C $ =" K " "_ C 6: %9 "< =" K # " C ! E ; ! # * # * " # * ! L' ( 4 Q )" ( ( ) C! Q # "< @ =" 4 !* FL! "* 1" 097%800 # ' %87 =" L' ( "3 CQ Q ;;; ' ! " 8/ 2" "<4 A '& > :?19" F ! , " <* " d::" , 1 /82" 4 %K " % C! ( ( # * + "" < 3 =" ! L ( ,3 L K / "* 7" 7?% :9 Q ,3 L K 4 / 2" ( B ; " L' ( > 6 :?" , ( ( C3 2" @ ( "F $ " " e =" ?7%67 "<T $ e =" ( $ 81 %?8 )" < 3 C> e =" ! # # ( > Q 5: Q : " 4 " 4 @" > )" < ! * 4 @$ =" 4 @ 05 $" < ? %6 # * " ?" - " <( " 5 /02" ?1 %80 # K # * K / #& & ( # ! ; A=" 4 @ , #& > "" < 88" , "D =" , =" 7" "* ! , =" CQ Q ;;; ( # ' C> - C Q 011?Q =" 4 @ , K/ %" 4 " <) " d::" C! ; % =" '!_F)4 3 " 4 @ F " Ld ?7" * " L ; _ AC ( $ V =" C! =" K 807%8? "<3 C e =" K " ( =" 8%01 " 01/52" , ! & ! # ; , C " <( ' =" > !& J ; 89 %?1? " "<( 58%0 7 - ./ " 6" 5" $ " 688%:8 Q Q " ' ! 2" $" < !' ; A ;e C 4 FL3 ! * @ " 88" ) "<4 " ;" 61" 4 " 06%?8 # ! ,3 L 8::%?18 " < J LE %" 3 Q Q Q Q ( C ! " $" < ! # , ! !! 4 !* FL! 87%60 * " A ;" L' ( > :009" K # ; $ C ! "< @ C! "E ; ! & 2" *@! =" ( 3 " 7?" F " 75%:9 "E ; ! " * ( C " L' ( > 6601" K J LE 4 FL3 !& 5/ 2" , " ! 3L / "< "* C! 6" "" < 95% 15 A (& 2" J "< A =" K " f' 095%806 " 6" =" 06?%51 " g" K A ;% "D "! =" CL * J L (_ J ,( L D!,!L 81 $% " < 3 ?6/02" 4 " !! ! ! * # ! =" ( , " < " " ! * ?5/ 2" K " & > " Ld0" " 0 / 2" ; , " A C *- =" 78%6: "F " " "<* 18 [ : 0 77%95 A %85 )" @ 0 ' ( "< $ " <3 4 * ' =" K #! * =" 3 ?7%7? B ; * "4 & %" ) C4 3 =" ( ( " " "