Changes flottants

Les changes flottants (ou régime de changes flottants) est le régime de change dans lequel la valeur des monnaies varie librement sur un marché spécialisé. Les États ne déterminent donc pas directement leurs taux de change, mais laissent la valeur de leur monnaie être déterminée par la rencontre de l'offre et de la demande de leur devise sur le marché des changes. Concept Le régime de change détermine la convertibilité d'une devise avec une devise étrangère. Dans un système de change flottant, la valeur de la devise n'est pas déterminée par la banque centrale ou par d'autres pouvoirs publics, mais par la seule rencontre entre l'offre et la demande de devises sur le marché des changes. Le taux de change est par conséquent librement fixé à chaque seconde d'ouverture des marchés. Si le change flottant dispense la banque centrale de contrôler l'évolution du taux de change, cela ne signifie pas pour autant qu'elle s'interdise d'intervenir dans le cas où, dans le cadre du flott

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Quantifying the Benefits of Labor Mobility in a Currency Union

Unemployment differentials are bigger in Europe than in the United States. Migration responds to unemployment differentials, though the response is smaller in Europe. Mundell (1961) argued that factor mobility is a precondition for a successful currency union. We use a multi-country DSGE model with cross-border migration and search frictions to quantify the benefits of increased labor mobility in Europe and compare this outcome to a case of fully flexible exchange rates. Labor mobility and flexible exchange rates both work to reduce unemployment and per capita GDP differentials across countries provided that monetary policy is sufficiently responsive to national output.

2018

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Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Angelo Ranaldo

A daily return reversal measure of liquidity is developed and estimated using a new comprehensive ultra-high frequency data set of foreign exchange rates during the financial crisis period of 2007--2008. The measure captures market participants' perception of periods with high and low liquidity in the expected manner. Tests for commonality in foreign exchange (FX) liquidity show that liquidity co-moves strongly across currencies. Systematic FX liquidity decreases dramatically during the subprime crisis, especially after the default of Lehman Brothers in September 2008. To investigate whether there exists a return premium for illiquidity, a factor model similar to Lustig, Roussanov, and Verdelhan (2009) is augmented by a liquidity risk factor constructed from shocks to systematic liquidity. Empirical results indicate that liquidity risk is a heavily priced state variable important for the determination of FX returns. Previously identified risk factors such as the carry trade and market risk factors are no longer significant once common liquidity risk is incorporated in the asset pricing model. This finding helps to explain deviations from uncovered interest rate parity as classical tests do not include liquidity risk.

2009

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Optimal Exchange-Rate Targeting with Large Labor Unions

Vincenzo Cuciniello, Luisa Lambertini

We study whether monetary policy should target the exchange rate in a two-country model with non-atomistic wage setters, non-traded goods and different degrees of exchange- rate pass through. Commitment to an exchange rate target reduces the labor market distortion. Large labor unions anticipate that higher wages depreciate the exchange rate, which triggers an increase in the interest rate and restrain wage demands. However, reduced exchange rate flexibility worsens the distortion stemming from preset pricing. Targeting the nominal exchange rate will be optimal when the labor market distortion is larger than the preset-pricing one. This result arises with cooperation both under producer and local currency pricing, even though the optimal degree of exchange-rate targeting is higher under local currency pricing. In the Nash equilibrium, the terms-of-trade effect raises optimal wage mark-ups thereby reducing the optimal weight on the exchange rate target. The terms-of-trade effect is stronger as openness and substitutability among Home and Foreign goods increase.

Center for Fiscal Policy Working Paper Series2009

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FIN-523: Global business environment

This course gives the framework and tools for understanding economic events, taking financial decisions and evaluating investment opportunities in a global economy. It builds up an integrated model of exchange rate and output determination, and explains how monetary and fiscal policies work.

FIN-404: Derivatives

The objective of this course is to provide a detailed coverage of the standard models for the valuation and hedging of derivatives products such as European options, American options, forward contracts, futures contract and exotic options.

FIN-405: Investments

The course covers a wide range of topics in investment analysis

Taux de change

Le taux de change d'une devise (une monnaie) est le coût (autrement dit le prix) de cette devise par rapport à une autre. On parle aussi de la « parité d'une monnaie ». Mais ce dernier mot constitue

Devise (monnaie)

Au sens strict, une devise est une unité monétaire acceptée par un pays étranger, tandis que la « monnaie » est celle de son pays. Elle est émise le plus souvent sous le contrôle d’une banque centr

Forex

vignette|Conversion de monnaie Le Forex (en anglais Foreign exchange market ou FX), ou marché des changes, est le marché sur lequel les devises dites convertibles (paire de devises) sont échangées l’u