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Ajustement non linériare du taux de change vers la ppa

Ajustement non linériare du taux de change vers la ppa

          
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About the Book

La persistance des déviations par rapport au PPA et les amples mouvements observés dans les séries des taux de changes ont suscité et suscitent encore l'intention des plusieurs chercheurs. Ce travail est une investigation empirique du problème d'ajustement du taux de change vers son niveau d'équilibre définit par la PPA. Deux grandes approches ont été utilisé pour étudier ce dynamique. La première approche est celle de la cointégration linéaire. Les résultats issues de cette approche montrent que cette hypothèse selon laquelle le retour vers la moyenne du taux de change est linéaire à vitesse continu et constant est rejetée par les données et pour toutes les séries étudiées. La seconde approche est de type non linéaire basée sur les modèles ESTAR et LSTAR . Les résultats empiriques de l'application de ces modèles montrent que les modèles ESTAR est la plus appropriée pour toute les séries exceptés celles de US/FF et US/JAP.


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Product Details
  • ISBN-13: 9786131569685
  • Publisher: Omniscriptum
  • Publisher Imprint: Omniscriptum
  • Height: 229 mm
  • No of Pages: 116
  • Series Title: Omn.Univ.Europ.
  • Weight: 181 gr
  • ISBN-10: 6131569681
  • Publisher Date: 28 Feb 2018
  • Binding: Paperback
  • Language: French
  • Returnable: N
  • Spine Width: 7 mm
  • Width: 152 mm


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