文章基本信息

标题：L’apport du NATREX à la modélisation des taux de change d’équilibre : théorie et application au dollar canadien
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作者：Serge Rey
期刊名称：L'Actualité économique
印刷版ISSN：0001-771X
电子版ISSN：1710-3991
出版年度：2009
卷号：85
期号：2
页码：131-131–181
出版社：Erudit
摘要：The exchange rate misalignments, i.e. the over/under evaluation of currencies, remain at the heart of discussions of international finance. To define and to measure these misalignments, it’s necessary to refer to an equilibrium exchange rate. We consider that the relevant model must meet certain requirements, which relate to both the theoretical and operational content. On the theoretical level, the model must: firstly explain the dynamics of real exchange rates, distinguishing in particular the medium and long run equilibrium, and secondly take into account the interaction between the exchange rate and the external debt. We show that standard models of literature, the PPP, FEER and BEER, only partially meet these requirements, whereas the NATREX today represents the most sophisticated approach. We conduct an empirical application to the case of the Canadian dollar from the three reference models, the FEER, the BEER and the NATREX over the period 1970Q1-2008Q3. We deduce the corresponding value for the nominal exchange rate equilibrium in the Canadian dollar against the U.S. dollar. We conclude that NATREX is a useful guide for the monetary authorities and the private operators.