Description
Résumé: La présente étude traite de la question de l'union monétaire européenne à partir d'une approche empirique. L'objectif principal de l'étude est d'évaluer le degré d'asymétrie des chocs affectant un ensemble de huit pays européens susceptibles de former le noyau d'une éventuelle union monétaire. Étant donné que la mesure qui importe le plus est le degré d'asymétrie des chocs réels, notre approche consiste à utiliser les fluctuations observées des taux de change réels comme un indicateur du degré d'asymétrie des chocs et d'en extraire les composantes réelles (qui sont permanentes) et les composantes nominales (qui sont transitoires) par le biais de l'information contenue dans les variations du taux de change nominal. La méthode de décomposition utilisée est celle recommandée par Blanchard et Quah (1989) et adaptée au cas des taux de change réels. De façon générale, les résultats démontrent que, même à court terme, les chocs réels constituent la principale source des fluctuations des taux de change réels. Les résultats suggèrent également que l'Allemagne, les Pays-Bas et la Belgique pourraient former le noyau d'une union monétaire, alors que le Royaume-Uni et l'Espagne auraient à assumer des coûts d'ajustement importants. Quant aux autres pays inclus dans l'étude (la France, l'Italie et la Suisse), ils représentent des cas intermédiaires.
Abstract: The objective of this paper is to provide an empirical evaluation of the degree of shock asymmetry between eight European countries that would form the core of a monetary union. Given that the relevant measure is the degree of real shock asymmetry, our approach is to use the observed movement in real exchange rates as an indicator of the degree of shock asymmetry and to decompose it into real (permanent) and nominal (temporary) components, using information from the nominal exchange rate in a bivariate system. The decomposition method used is similar to that proposed by Blanchard and Quah (1989) and has been adapted to the case of exchange rates. In general, the results indicate that even in the short run, real shocks represent the dominant source of fluctuations in real exchange rates. The results also suggest that Germany, the Netherlands and Belgium together could form the core of a monetary union, whereas Spain and the United Kingdom could potentially face serious adjustment costs. The other countries included in the study (France, Italy and Switzerland) represent intermediate cases.
Abstract: The objective of this paper is to provide an empirical evaluation of the degree of shock asymmetry between eight European countries that would form the core of a monetary union. Given that the relevant measure is the degree of real shock asymmetry, our approach is to use the observed movement in real exchange rates as an indicator of the degree of shock asymmetry and to decompose it into real (permanent) and nominal (temporary) components, using information from the nominal exchange rate in a bivariate system. The decomposition method used is similar to that proposed by Blanchard and Quah (1989) and has been adapted to the case of exchange rates. In general, the results indicate that even in the short run, real shocks represent the dominant source of fluctuations in real exchange rates. The results also suggest that Germany, the Netherlands and Belgium together could form the core of a monetary union, whereas Spain and the United Kingdom could potentially face serious adjustment costs. The other countries included in the study (France, Italy and Switzerland) represent intermediate cases.