Essai sur les modèles du taux de change incorporant la Règle de Taylor

Content Provider	Semantic Scholar
Author	Aoufi, Houria
Copyright Year	2010
Abstract	The objective of our study is to estimate the model of determination of the foreign exchange rate based on the Taylor rule presented in the article Molodtsova and Papell (2009) and to test its various assumptions. Foreign exchange rates considered are foreign exchange rates of the Canadian dollar, of the Japanese yen and of the Euro compared to the American dollar, that is to say: CA/USD, YEN/USD and EUR/USD respectively. These rates are defined as the price in American dollar of the foreign currency. We use monthly data going from January 1980 to January 2008 for Canada and Japan, and from January 1999 at December 2009 for the euro area. We do the necessary tests on the studied variables (stationnarity, presence of cointegration, endogeneity, validity and relevance of the instruments,... etc), We consider then the model general presented in the article with two measurements of the output gap: percentage deviation of actual output from a Hodrick and Prescott (HP) and a linear time trend, and we test the various assumptions or specifications presented in the article and we retain the best model with the appropriate measure of the output gap.
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Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article