He i, E win W.; Theu illa , Michael J.
A icle
Pu chasing Powe Pa i ies o he DM
K edi und Kapi al
P o ided in Coope a ion wi h:
Duncke & Humblo , Be lin
Sugges ed Ci a ion: He i, E win W.; Theu illa , Michael J. (1990) : Pu chasing Powe Pa i ies o he
DM, K edi und Kapi al, ISSN 0023-4591, Duncke & Humblo , Be lin, Vol. 23, Iss. 3, pp. 333-350,
h ps://doi.o g/10.3790/ccm.23.3.333
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Pu chasing Powe Pa i ies o he DM
A Coin eg a ion Exe cise*
By E win W. He i and Michael J. Theu illa , Basel
I. In oduc ion
Pu chasing Powe Pa i y (PPP) is p obably one o he oldes heo e ical
app oaches o exchange a e de e mina ion. No wi hs anding, i has no los
i s ele ance as one o he majo building blocks, i.e. equilib ium condi ions
o e en e y ecen heo e ical a emp s o explain exchange a e beha iou .
Mos p ominen among hese is he mone a y app oach o exchange a e
de e mina ion as p esen ed, e.g. by Bilson (1976, 1978, 1979) in which he
assump ion is made ha PPP e en holds in he sho un, o he Do nbusch
model (Do nbusch 1976) which shows how de ia ions om PPP migh occu
and unde wha ci cums ances a mo emen back o he equilib ium should
ake place.
The e m "equilib ium" he e is e y impo an because i makes he poin
clea ha whene e de ia ions om PPP occu - howe e hese de ia ions
a e measu ed o he momen - he e a e a leas wo a iables ha can bea
he bu den o adjus men owa ds equilib ium, namely he exchange a e
and/o ela i e p ices. This ac should be emphasized since i has become
ob ious o us ha a g ea deal o public opinion, in e.g. he o ex ma ke s,
sees PPP no as an equilib ium condi ion bu as a heo y de e mining he
exchange a e pe se.
This iew o PPP is o some ex en unde s andable and p obably e lec s a
lo o ea lie open economy hinking which indeed saw he exchange a e as
he ela i e p ice o wo na ional incomes. In his way o hinking, he
exchange a e was mainly d i en by ade lows, and whene e coun y A
had a ade su plus wi h coun y B he e was excess demand o A's cu -
ency on he o eign exchange ma ke s and a subsequen e alua ion. Since
* This pape has been p esen ed a Semina s a he Uni e si y o Basel and Swiss
Bank Co po a ion and a he 6 h In e na ional Mee ing on Mone a y Economics and
Banking in Lyon, 1989.
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334 E win
W.
He i and Michael J. Theu illa
ade lows a e in luenced by - among o he hings - ela i e p ices (i.e., a
ade su plus de elops o goods in coun y A a e cheape han simila goods
in coun y B), he causal low in hese models is clea ly om p ice le els o
he exchange a e. This is no o say ha i was no unde s ood ha he
exchange a e migh ha e some in luence on he in e nal p ice sys em, oo.
Bu his was gene ally no accoun ed o in hose models. Since hey a e s ill
ela i ely widesp ead, a leas among p ac i ione s, so i should no be oo
su p ising ha he exchange- a e-de e mina ion iew o PPP is s ill p omi-
nen .
The mo e ecen li e a u e on exchange a e de e mina ion (o e iews o
he li e a u e a e p o ided by F ankel (1980), He i (1982), Kohlhagen (1978)
among o he s) ega ds he exchange a e as being he ela i e p ice o inan-
cial asse s, whe he money alone as in he mone a y app oach o he exchange
a e (Bilson 1976, 1978, 1979) o o he in e na ionally adable asse s as in
he po olio balance app oach (examples a e B anson (1977), Hende son
(1979) and Kou i (1976)). In hose app oaches, he majo de e minan s o
exchange a es a e demand o and supply o domes ic and o eign inancial
asse s. Ano he impo an ac o in hese mo e ecen models is expec a-
ions. Indeed, h ough he inclusion o expec a ions hese heo ies esul in
qui e a menu o di e en exchange a e de e mina ion app oaches.
He e, PPP - i i ea u es a all - is again used as an equilib ium condi ion
and in a couple o models he abo e men ioned eedback om he exchange
a e o he domes ic p ice le el is explici ly aken in o accoun (one example
in his adi ion is Be nholz / Gae ne / He i (1985)).
When i comes o empi ical in es iga ions o Pu chasing Powe Pa i y one
ge s he imp ession ha he conc e e app oach anks somewha lowe han
he heo y i sel - a leas o e mo e ecen expe iences. F enkel (1976,1978,
1980) p esen s e idence b oadly in a ou o PPP o he 1920's, al hough his
econome ic me hodology has been challenged by Edison (1985), who
applies dynamic speci ica ion modeling echniques. Again Taylo / McMa-
hon's (1988) esul s a e s ongly suppo i e o PPP o e he same sample
pe iod co e ed in F ankeVs pape . They explici ly es he equilib ium con-
di ion in a coin eg a ion amewo k as sugges ed among o he s by Engle /
G ange (1987). A simila exe cise was pe o med by Ki chgaessne (1988)
o he Se en ies and Eigh ies wi h a he inconclusi e esul s.
The plan o ou pape is as ollows: We i s gi e a e y b ie in oduc ion
o he PPP concep (sec ion II). In sec ion III we in oduce he coin eg a ion
amewo k which we use in sec ion IV o ge a clue as o whe he PPP gi es
a leas some in o ma ion abou possible long un co-mo emen s o
exchange a es and ela i e p ices. Since PPP is indeed a e y simpli ied
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Pu chasing Powe Pa i ies o he DM 335
concep o discussing he ela ionship be ween an asse p ice and i s pos-
sible undamen al de e minan s, we show ha a deg ee o p agma ism is
equi ed when es s a e pe o med. Inclusion o dummy a iables o
pe iods o possible "bubble" beha iou o exchange a es o o es ima ion
pe iods which do no always co e he o e all pe iod o he ecen loa ing
seem o be necessa y in some cases. The las sec ion is ese ed o a sum-
ma y and a couple o conclusions.
II. The Theo e ical Concep
The heo e ical li e a u e knows a leas wo di e en app oaches o PPP
heo izing - he absolu e and he ela i e o m o Pu chasing Powe Pa i y.
The absolu e o m is o en connec ed wi h he name o Gus a Cassel bu he
oo s p obably go back o Da id Rica do o e en o he school o Salamanca.
In he absolu e o m an equilib ium is a ained i , in wo coun ies, goods o
baske s o goods a e pu chased o he same p ice when denomina ed in he
same cu ency,
i.
e.
Pi
(1) = —
j
whe e = exchange a e (domes ic in e ms o o eign cu ency)
Pi = P ice le el in coun y i
Pj = P ice le el in coun y j
As emphasized (1) is an equilib ium condi ion, and as such embodies no
speci ic hypo hesis conce ning he di ec ion o causali y.
De ia ions om such an equilib ium,
i. e.
when he exchange a e be ween
wo coun ies does no e lec ela i e p ices co ec ly, imply in p inciple
some so o a bi age possibili y on goods ma ke s. In o he wo ds, since he
baske o goods in coun y A is cheape han in coun y B i is bough in he
i s and sold in he second. Those implied lows o goods esul in low
demand and supply o o eign exchange which will, all hings being equal,
es o e a new equilib ium. This is heo y, o cou se, bu mo e o less cha ac-
e izes he adi ional low app oach men ioned abo e, in which he
exchange a e is de ined as he ela i e p ice o di e en baske s o goods o
di e en na ional ou pu s. In he mo e ecen s ock app oaches, he
exchange a e is iewed as he ela i e p ice o inancial asse s.
One o he mo e p ominen among he s ock app oach heo ies is he mon-
e a y gambi , whe e he exchange a e is he ela i e p ice o wo na ional
monies. Seen h ough hese mone a is glasses, a change in money supply in
coun y i would lead o a p opo ional change in all nominal a iables (such
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336 E win
W.
He i and Michael J. Theu illa
as exchange a es). Acco ding o his in e p e a ion, he e o e, he Pu chas-
ing Powe Pa i y heo y can al e na i ely be iewed as an implica ion o he
mone a is ic wo ld o money neu ali y.
The equilib ium as o mula ed in (1) is e y es ic i e a leas i no a
dogma ic mone a is iew is pu sued and i i is aken in o accoun ha a
signi ican po ion o goods and (especially) se ices a e no e en accessible
o in e na ional ade o a leas a e no su icien ly compa able (such as all
he speci ic na ional goods).
These ac s mean ha a pe ec ela ionship o cos s and p ices be ween
di e en coun ies does no hold good any longe .
Ve y o en, he e o e, equa ion (1) is augmen ed by a p opo ionali y ac-
o
Pi
(2) e{j a a
=£
1
Pj
When a is assumed o be cons an o e ime his leads o he ela i e o m o
Pu chasing Powe Pa i y.
This o m pos ula es ha in he sa e o equilib ium, exchange a e mo e-
men s p opo ionally co espond o he di e ences be ween changes in he
p ice le els o he coun ies in ques ion.
~~ D
eij
Pj, +
i
Pj,
Again, equa ions like (1) and (2) a e equilib ium condi ions. As such hey
do no ha e o hold a e e y poin in ime. Indeed o eign exchange ma ke
expe ience has p o en ha de ia ions om PPP no only exis bu can be
e y la ge and long las ing.
The mos impo an ac o s esponsible o hose de ia ions a e (see He i /
Wol (1985)).
(i) T anspo a ion cos s, axes, a i s and non- a i ba ie s o ade
(mode n o ms o p o ec ionism).
(ii) Real ac o s such as di e ences in as es, echnology, and esou ce
supplies.
(iii) Mone a y ac o s such as shi s in mone a y policy and eshu ling o
in e na ional po olios, and so on.
The e o e, whene e PPP is discussed, we should no o ge ha - being a
pu ely bi a ia e concep - i may no only be he oldes bu also he leas
sophis ica ed app oach o he ela ionship be ween he exchange a e and
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Pu chasing Powe Pa i ies o he DM 337
possible undamen al a iables. A g ea deal is dis ega ded, and only he
empi ical wo k can show whe he his was wise o no .
Bu hen, i we go in o he empi ical aspec s o Pu chasing Powe Pa i y,
he e a e e en mo e p oblems o be men ioned.
No.
1
is he choice o app op ia e p ice indices.
This choice depends mo e o less on he undamen al in e p e a ion o
PPP. In he low app oach, in which commodi y a bi age plays a dominan
ole, he e is a endency o ake p ice indices o aded goods (such as com-
modi y p ices, impo and expo p ices).
In he mone a y in e p e a ion, on he o he hand, a b oade p ice index
emb acing a la ge baske o aded and non- aded goods is equi ed. A con-
sume p ice index, uni labou cos s, o - as a measu e o in la iona y expec-
ions - an index based on long- e m in e es a es can be used o he calcu-
la ions. The choice o he wholesale p ice index as done he e is o en used in
his con ex as a so o comp omise.
No. 2 is he choice o he app op ia e base pe iod in which he exchange
a es in ques ion a e conside ed o be in balance. Like he index p oblems
men ioned abo e, he selec ion o he base pe iod can be a e y a bi a y
business oo, because i implici ly equi es ha we can s a e p ecisely, o a
selec ed pe iod o ime, when he exchange a e co ec ly e lec s he ela-
i e compe i e posi ion o wo coun ies.
All hese p oblems a e no explici ly deal wi h in his pape . No ha
hey a e hough o be i ele an , bu we eel ha he majo esul s, i. e. he
endencies, should be ecognisable e en i some s a is ical p oblems canno
ully be esol ed.
III. The Coin eg a ion F amewo k
Pu chasing Powe Pa i y belongs in o he ca ego y o economic hinking
o which G ange (1986, p. 213) w i es: "A he leas sophis ica ed le el o
economics lies he belie ha ce ain pai s o economic a iables should no
di e ge om each o he by oo g ea an ex en - a leas in he long un.
Thus such a iables may d i apa in he sho un o acco ding o seasonal
ac o s, bu i hey con inue o be oo a apa in he long un hen economic
o ces, such as ma ke mechanisms o go e nmen in e en ion, will begin
o b ing hem oge he again." Al hough such co-mo emen e y o en
seems in ui i ely appealing, he co ec ness o long- e m ela edness is an
empi ical ma e a e all. The idea unde lying he coin eg a ion amewo k
allows speci ica ion and es ing o models ha deal wi h such long- un
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338 E win W. He i and Michael J. Theu illa
ela ionships a leas o pa icula ypes o a iables ha a e e y o en
ound o occu in mac oeconomics.
A a he new ja gon has been de eloped in he coin eg a ion li e a u e. A
s a iona y se ies X J i.e. a se ies wi h ime in a ian mean and co a iance
unc ion, is said o be in eg a ed o o de ze o, o
(4) X ^ 7(0)
I he se ies needs o be di e enced in o de o achie e s a iona i y i is
said o be in eg a ed o o de one, i.e.
(5) X, ^ 7(1)
and mo e gene ally, i he se ies needs o be di e enced d imes in o de o
become 7(0) i is called
(6) X ^ i(d)
The mos ob ious example o 1(0) o 7(1) p ocesses a e a whi e noise e o
which Qk = COR(e , e -k) = 0 o all k = 0, and a andom walk o which
X = X _ i + e , espec i ely.
Fo a pai o a iables o be coin eg a ed a necessa y condi ion is ha hey
be in eg a ed o he same o de . I wo a iables X and Y a e bo h 7(1) hen
i is gene ally ue ha a linea combina ion like
(7) Z = X + aY
will also be 7(1).
Howe e , i a cons an a exis s such ha
(8) Z, 7(0)
which means ha al hough X and Y do bo h ha e in ini e a iances, he
linea combina ion Z is s a iona y,1 hen he wo se ies a e said o be coin-
1 I is impo an o no e he e ha a 7(0)-p ocess has a mean and a endency o
e u n o i s mean, and au oco ela ions ha decline apidly wi h lag inc eases.
An 7(l)-p ocess, on he o he hand, will be ela i ely smoo h, wande widely and
only a ely e u n o an ea lie alue. Au oco ela ions o an 7(l)-p ocess a e all nea
one in magni ude e en o a la ge k since hey can be shown o be
(i) Qk = 1-
k /
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Pu chasing Powe Pa i ies o he DM 339
eg a ed - which means hey don' d i apa om each o he by oo g ea
an amoun and hey ha e simila endencies.
Al hough he abo e discussion migh seem somewha emo e om ou
main heme o Pu chasing Powe Pa i y, i is ob ious ha i economic
heo y sugges s a long- un ela ionship be ween wo a iables like
(9) X = a + bY + e
hen he abo e amewo k is o in e es since unless e is 7(0) in case o X
and Y being 7(1) - a p ocess which is e y ypical o mac oeconomic ime
se ies (G ange (1986), p. 214) - Y and X will end o d i apa in ini ely.
Hence coin eg a ion o a pai o a iables is a necessa y condi ion o he
exis ence o a linea long- un ela ionship.
Empi ical es s o he coin eg a ion amewo k ha e o be pe o med in a
leas wo s eps.
The i s s ep is a es o whe he X and Y a e 7(1). A es philosophy o
his has been p o ided by Dickey / Fulle (1981). I is based on he ollowing
eg ession equa ion
n
(10) X = a + bX -
i
+ 2
Cj
AX
.j
+ dTREND +
e
j = I
n
Y =
CL
+ bY -
x
+ 2
Cj
AX
-j
+ dTREND +
e
j = i
whe e he ns a e selec ed o be la ge enough o insu e whi e noise esiduals.
The ele an es s a is ic in his amewo k is he a io o b o e i s OLS
s anda d e o . The null hypo hesis
H0: X , Y ^ 7(1)
and he null is ejec ed o (absolu ely) la ge nega i e "i- a ios". The es
s a is ic does no , howe e , ha e a ¿-dis ibu ion unde he null because o
he heo e ically in ini e a iance o X and Y . Howe e , Fulle (1976)
epo s ables and c i ical alues o hose i- a ios.
The second s ep o he coin eg a ion es consis s o he so-called "coin-
eg a ion eg ession",
A pu e andom walk, o example, sol es o
(11) X =
E
+
£ - 1
+
£ - 2
+ ...
wi h a a iance o al = o wi h can ob iously become inde ini ely la ge as
inc eases. See (e.g.
Pindyck
/
Rubin eld
(1976) p. 431 .).
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340 E win
W.
He i and Michael J. Theu illa
(11) X = a + bY + e
and he es o whe he he esiduals e appea o be 7(0) o no .
S ock (1984) has shown ha when se ies a e coin eg a ed OLS es ima es
o he coin eg a ion equa ion (11) esul in so-called supe -e icien es i-
ma es o he coin eg a ion ac o a in equa ion (7). This means ha i X and
Y a e coin eg a ed he OLS esiduals om (11) will be consis en es ima es
o he 7(0) linea combina ion Z in (7). One should emphasize he e ha his
so o empi ical me hodology is in s a k con as o he "philosophy o di -
e encing" non-s a iona y ime se ies be o e eg essing hem on each o he ,
which was e y ashionable in much o he empi ical li e a u e only a ew
yea s ago.
A simple es o he null hypo hesis
H0 : X l Y no coin eg a ed
is based on he p e iously men ioned Dickey / Fulle es o e . I u ns ou ,
howe e , ha no only can we no use he con en ional ¿- es , bu in his
case e en he c i ical alues abula ed by Fulle (1976) a e no use ul.
Engle / G ange (1987), howe e , ha e abula ed c i ical alues o his kind
o exe cise.
To come back now o he ques ion o Pu chasing Powe Pa i y i should be
no ed ha qui e a lo o he exchange a e li e a u e - a leas he wo k deal-
ing wi h he e icien ma ke s hypo hesis - d aws he conclusion ha
exchange a es appea o ollow a andom walk.2 Thus he e seem o be good
easons o assume ha exchange a es may be 7(1). I he nominal exchange
a e and domes ic- o- o eign p ice a ios a e o be coin eg a ed,
i. e.
i he e
is a long- un (linea ) ela ionship be ween exchange a es and p ices which
can be de ec ed in a coin eg a ion amewo k, hen ela i e p ices mus be
7(1) also and he esidual o he coin eg a ion (OLS) eg ession in which
p ices a e eg essed on exchange a es o ice e sa mus be 7(0). Resul s o
es s o he Wes Ge man ma k a es a e discussed in he nex sec ion.
IV. Empi ical Resul s
The da a we used o es ing he deg ee o coin eg a ion o exchange a es
and ela i e p ices a e o Wes Ge many. We used he espec i e DM- a es
and he a io o he Wes Ge man p ice indices o hose o he US, F ance,
2 See Giddy / Du ey (1976), He i (1986), Le ich (1979) among o he s.
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Pu chasing Powe Pa i ies o he DM 347
(ii) In 50% o he cases ela i e p ices and exchange a es seem o be coin-
eg a ed, i.e. a long- un equilib ium ela ionship seems o exis be-
ween ela i e p ices and he exchange a e.
(iii) In mos cases, he pa ame e connec ing he wo ime se ies does no
seem o be oo a away om uni y, al hough his hypo hesis could no
be es ed explici ly in ou pape since we did no wan o deal he e wi h
he p oblem ha we don' ha e co ec s anda d e o s o he pa a-
me e s in he so-called coin eg a ion eg ession, a leas no unde he
null ha he pa ame e s a e uni y.
Pa o ou es s ha e been based on he ime se ies beha iou o he e o
e m in he so-called coin eg a ion eg ession. PPP had o be ejec ed in
e e y ins ance in which he e o p ocess seemed o be 1(1) ( o de ails he
eade is e e ed o sec ion III). I should be no ed howe e ha in mos
cases in which he hypo hesis ha he e o p ocesses a e 1(1) could no be
ejec ed, he au oco ela ion unc ion ell o e y apidly, which migh be
an indica ion ha he c i ical alues used a e somewha o es ic i e.
O e all, he esul s a e mo e in a ou o Pu chasing Powe Pa i y o he
DM a es han a couple o pape s which use mo e adi ional econome ic
me hods seem o sugges . Fu he mo e, hey seem o imply ha al hough
PPP is de ini ely no a o ecas ing de ice o exchange a es, i can help in
designing isk-managemen p ocedu es o a leas in gi ing an idea abou
long- un endencies in bila e al exchange a es.
Re e ences
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men s in Mone a y Models o Exchange Ra e De e mina ion", IMF-S a Pape s,
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H. J. (1985): "Pu chasing Powe Pa i y: A Quan i a i e Reassessmen o he 1920's
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Zusammen assung
Die Kau k a pa i ä en heo ie ü die Deu sche Ma k
Die Kau k a pa i ä en heo ie bilde einen de wohl äl es en heo e ischen Bau-
s eine zu Bes immung lang is ige Wechselku sgleichgewich e. Auch in den neue en
Ansä zen de Wechselku sde e minie ung ha sie als wich ige Gleichgewich sbedin-
gung Eingang ge unden und so übe die Zei kaum an Rele anz e lo en. Im o liegen-
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Pu chasing Powe Pa i ies o he DM 349
den Papie wi d diese Gleichgewich sansa z anhand de Theo ie koin eg ie e P o-
zesse au seine empi ische E idenz hin un e such . In einem ein üh enden Teil
(Abschni I und II) wi d ku z das wechselku s heo e ische C edo de le z en Jah -
zehn e beleuch e und das heo e ische Konzep de Kau k a pa i ä en heo ie in den
wesen lichen Zügen o ges ell . Fe ne wi d au einige P obleme eine solchen empi-
ischen Modellie ung bzw. Übe p ü ung eingegangen.
Abschni III en häl eine Ein üh ung in die un e ande em on Engle und G ange
- zu Übe p ü ung lang is ige Gleichgewich sbeziehungen - en wickel e Theo ie
koin eg ie e Zei eihen. Un e Abschni IV we den die empi ischen E gebnisse ü
14 bila e ale Wechselku se zwischen de DM und eine Reihe wich ige Indus ielän-
de ü die Pe iode 1974-1987 p äsen ie und disku ie . Die E gebnisse de Koin e-
g a ionsschä zung sp echen in de Häl e alle Fälle ü die Gül igkei de Kau k a -
pa i ä en heo ie. In e essan schein dabei, daß neben den wi klich ei loa enden
Wechselku sen DM/US-$ und DM/Yen, auch ü den DM/FF-Fall - mi F ank eich
als wich igs en EWS Pa ne Deu schlands - die Hypo hese eine lag is igen Gleich-
gewich sbeziehung im Sinne de Kau k a pa i ä en heo ie e wo en we den muß e.
Summa y
The Pu chasing Powe Theo y wi h Rela ion o he D-Ma k
The pu chasing powe heo y ep esen s one o he p obably oldes heo e ical com-
ponen s in de e mining long- e m exchange- a e equilib ium. I o ms pa also o he
mos ecen app oaches o he de e mina ion o exchange a es as an impo an
equilib ium condi ion and has hus ha dly los in ele ance o e ime. The p esen
pape analyzes his app oach o equilib ium on he basis o he heo y o co-in e-
g a ed p ocesses wi h ega d o i s empi ical e idence. The in oduc o y (pa I and II)
h ows some ligh on he exchange a e c edo o he las ew decades and b ie ly p e-
sen s he main cha ac e is ics o he heo e ical concep unde lying he pu chasing
powe pa i y heo y. Mo eo e , he pape deals wi h a numbe o p oblems in ol ed
in such empi ical model-building and/o e ision.
Pa III con ains an in oduc o y o he heo y o co-in eg a ed ime se ies as
de eloped by Engle and G ange , among o he s, o e iewing long- e m equilib ium
ela ions. Pa IV p esen s and discussed he empi ical esul s o 14 DM- ela ed bila -
e al exchange a es wi h a numbe o impo an indus ialized coun ies in he pe iod
om 1974 o 1987. The esul s o he co-in eg a ion assessmen speak in a ou o he
alidi y o he pu chasing powe pa i y heo y in 50% o he cases. I may be in e es -
ing in his con ex ha he hypo hesis o long- e m equilib ium ela ions wi hin he
meaning o he pu chasing powe pa i y heo y had o be ejec ed also o he DM/FF
a e - wi h F ance being Ge many's mos impo an pa ne in he EMS - besides he
DM/US-$ and he DM/yen a es enjoying eal eedom o loa .
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350 E win W. He i and Michael J. Theu illa
Résumé
La héo ie de la pa i é du pou oi d'acha pou le Deu sche Ma k
La héo ie de la pa i é du pou oi d'acha o me un des plus anciens élémen s héo-
iques pou dé e mine les équilib es à long e me des cou s de change. Dans les nou-
elles héo ies se an à dé e mine les cou s de change, elle ep ésen e aussi une con-
di ion d'équilib e impo an e e a donc oujou s conse é au il du emps sa signi ica-
ion. Dans ce a ail, l'é idence empi ique de ce e no ion d'équilib e es analysée su
base de la héo ie de p ocessus coin ég és.
Dans l'in oduc ion (chapi es I e II), les au eu s expliquen b iè emen le c édo de
la héo ie des cou s de change des de niè es décennies e p ésen en les p incipales
ca ac é is iques de la héo ie de la pa i é du pou oi d'acha . Ensui e, ils app o ondis-
sen ce ains p oblèmes d'un el poin de ue empi ique e les analysen .
Le chapi e III comp end une in oduc ion à la héo ie des sé ies ch onologiques
coin ég ées, dé eloppée en e au es pa Engle and G ange - pou con ôle les ela-
ions d'équilib é à long e me. Dans le chapi e IV, les ésul a s empi iques pou 14
cou s de change bila é aux en e le DM e une sé ie de pays indus ialisés impo an s
son p ésen és e discu és pou la pé iode allan de 1974 à 1987. Dans la moi ié de ous
les cas, les ésul a s de l'es ima ion de coin ég a ion con i men la alidi é de la
héo ie de la pa i é du pou oi d'acha . Il es in é essan de cons a e qu'à cô é des
cou s de change aimen lo an s du DM e du dolla amé icain ainsi que du DM e
du Yen, égalemen pou le cas du DM e du FF - la F ance é an le pa enai e le plus
impo an du FME de l'Allemagne -, l'hypo hèse d'une ela ion d'équilib e à long
e me dans le sens de la héo ie de la pa i é du pou oi d'acha a dû ê e eje ée.
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