Abstracts
Résumé
Le processus d’intégration monétaire dans le Mercosur s’effectue dans un contexte de forte volatilité macroéconomique. Cet article analyse la faisabilité d’une union monétaire au sein de cette zone. Au lieu de prendre en compte l’ensemble des critères des zones monétaires optimales, cette étude se focalise sur les cycles macroéconomiques de l’Argentine, du Brésil et de l’Uruguay. Dans un premier temps, un modèle VAR semi-structurel est construit pour chaque pays afin de déterminer les sources des chocs. Dans un second temps, une modélisation espace-état permet d’estimer dans quelle mesure les chocs – et en particulier les chocs de politique économique – ont une composante commune pouvant montrer l’esquisse d’une coordination.
Abstract
Monetary integration in Mercosur processed in a context of strong macroeconomic volatility. This paper analyzes the feasibility of a monetary union within this zone. Instead of taking into account all the criteria of the optimal currencies areas, this study focuses on the macroeconomic cycles in Argentina, Brazil, and Uruguay. First, this paper presents a semi-structural VAR model for each country. It allows us to determine the source of shocks that hit these countries. Second, we decompose structural innovations –especially economic policies shocks- of domestic SSVAR into unobservable common and idiosyncratic components using a state-space model. We see in what extent economic policies are coordinated between the Mercosur countries.
Appendices
Bibliographie
-
Ahmed, S. (2003), « Sources of Economic Fluctuations in Latin America and Implications for Choice of Exchange Rate Regimes », Journal of Development Economics, 72(1) : 181-202.10.1016/S0304-3878(03)00073-7 Google Scholar Search this bibliographic reference on Google Scholar
-
Allegret, J.P. et A. Sand-Zantman (2007), « Transmission des chocs et mécanismes d’ajustement dans le Mercosur », Revuede l’OFCE, 101 : 251-268.10.1007/s10368-006-0056-2 Google Scholar Search this bibliographic reference on Google Scholar
-
Allen, G.P. et R. Fildes (2005), « Levels, Differences, and ECM: Principal for Improved Econometric Forecasting », Oxford Bulletin of Economics and Statistics, 67, (supplement, 0305-9049) : 881-904.10.2307/2946646 Google Scholar Search this bibliographic reference on Google Scholar
-
Blanchard, O. et D. Quah (1989), « The Dynamic Effects of Aggregate Demand and Supply Disturbances », American Economic Review, 79(4) : 655-673.10.1016/j.ememar.2005.12.001 Google Scholar Search this bibliographic reference on Google Scholar
-
BoscoN’Goma, J.M. (2000), « Analyse des chocs d’offre et de demande dans la zone CFA : une méthode structurelle d’autorégression vectorielle », Cahier 13-2000, CRDE, Université de Montréal.10.2307/1913712 Google Scholar Search this bibliographic reference on Google Scholar
-
Chamie, N., A. DeSerres et R. Lalonde (1994), « Optimum Currency Areas and Shock Asymmetry : A Comparison of Europe and the United States », Document de travail 94-1, Banque du Canada.10.1016/j.jimonfin.2007.04.004 Google Scholar Search this bibliographic reference on Google Scholar
-
Doan, T. (2004), Rats Version 6, User’s Guide, Estima.10.3917/reof.101.0355 Google Scholar Search this bibliographic reference on Google Scholar
-
Edwards, S. (2006), « Monetary Unions, External Shocks and Economic Performance : A Latin American Perspective », International Economics and Economic Policy, 3(3-4) : 225-247.10.1007/s10368-006-0056-2 Google Scholar Search this bibliographic reference on Google Scholar
-
Eichenbaum, M. et C. Evans (1995), « Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates », Quarterly Journal of Economics, 110(4) : 975-1009.10.2307/2946646 Google Scholar Search this bibliographic reference on Google Scholar
-
Eichengreen, B. et A.M. Taylor (2004), « The Monetary Consequences of A Free Trade Area of the Americas », inEstevadeordal, A., D. Rodrik, A. M. Taylor, et A. Velasco (éds), Integrating the Americas: FTAA and Beyond, Cambridge: Harvard University Press.Google Scholar Search this bibliographic reference on Google Scholar
-
Fanelli, J. et M. González-Rozada (2003), « Business Cycle and Macroeconomic Policy Coordination in Mercosur », Working Paper 16/2003, CIF, Buenos-Aires.Google Scholar Search this bibliographic reference on Google Scholar
-
Hallwood, P., I.W. Marsh et J. Scheibe (2006), « An Assessment of the Case for Monetary Union or Official Dollarization in Five Latin American Countries », Emerging Markets Review, 7(1) : 52-66.10.1016/j.ememar.2005.12.001 Google Scholar Search this bibliographic reference on Google Scholar
-
Harvey, A.C. (1990), Forecasting Structural Times Series Models and the Kalman Filter, Cambridge University Press.10.3386/w9666 Google Scholar Search this bibliographic reference on Google Scholar
-
Karras, G. (2003), « The Prospect of Dollarization : Are the Americas an Optimum Currency Area? », inTsoukis C., G.M. Agiomirgianakis et T. Biswas (éds), Aspects of Globalisation : Macroeconomic andCapital Market Linkages in the Integrated World Economy, Kluwer Academic Publishers, Dordrecht, p. 183-199.Google Scholar Search this bibliographic reference on Google Scholar
-
Kim, C.J. et C.R. Nelson (1999), State Space Models with Regime Switching, The MIT Press.10.1017/CBO9781107049994 Google Scholar Search this bibliographic reference on Google Scholar
-
Lalonde, R. et P. St-Amant (1993), « Zones monétaires optimales : cas du Mexique et des États-Unis », Document de travail, 93-12, Banque du Canada.10.1007/978-1-4419-8881-2_11 Google Scholar Search this bibliographic reference on Google Scholar
-
Lemoine, M. et F. Pelgrin (2003), « Introduction aux modèles espace-état et au filtre de Kalman »,Revue de l’OFCE, 86 : 203-229.Google Scholar Search this bibliographic reference on Google Scholar
-
Loayza, N., H. Lopez et A. Ubide (2001), « Sectorial Macroeconomic Interdependencies : Evidence from Latin America, East Asia and Europe », IMF Staff Papers, 48(2) : 367-396.Google Scholar Search this bibliographic reference on Google Scholar
-
Perron, P. (1989), « The Great Crash, the Oil Price Shock and the Unit Root Hypothesis », Econometrica, 57(6), 1361-1401.10.2307/1913712 Google Scholar Search this bibliographic reference on Google Scholar
-
Reinhart, M., K.S. Rogoff et M.A. Savastano (2003), « Addicted to Dollars », NBER Working Paper Series, 10012 (octobre).Google Scholar Search this bibliographic reference on Google Scholar
-
Rennhack, R. et M. Nozaki (2006), « Financial Dollarization in Latin America », IMF Working Paper, WP/06/71, janvier.10.3386/w10015 Google Scholar Search this bibliographic reference on Google Scholar
-
Rose, A.K. (2007), « A Stable International Monetary System Emerges : Inflation Targeting is Bretton Woods, Reversed », Journal of International Money and Finance, 26(5) : 663-668.10.1016/j.jimonfin.2007.04.004 Google Scholar Search this bibliographic reference on Google Scholar