Les déterminants et la prévision du taux de change : étude comparative du taux euro/dollar et yuan/dollar

Abstract

Since time immemorial, humans have been playing games of exchanging goods and services, either to satisfy their needs, or to acquire what they do not have or to get rid of what they have in excess. These exchange games gave birth to the currency as we know today. There are a multitude of currencies which are most often associated with a state or geographical area. The development of trade between different states and geographical areas has resulted in the creation of a huge market, called foreign exchange market, where various currencies can be traded at a defined rate, referred as the exchange rate. The exchange rate is a rate at which the currency of one state is exchanged for the currency of another. The exchange rate is considerably important for each country, as it has a direct impact on imports and exports between countries. A country with a strong exchange rate will tend to increase his import, because the price of foreign goods is cheaper. On the contrary, a low exchange rate will boost the country's exports. The exchange rate is influenced by countless factors such as the current balance, monetary policy, etc. These factors will be one of the main subjects of our work. Indeed, it will mainly consist of a comparative study of the euro/dollar and yuan/dollar rate in order to determine whether these two rates are influenced by the same factors. In conjunction with the study of factors, we will study the predictability of these two rates, first through the factors influencing these rates, and then only through their past values. The study period extends from 2005, the year in which the Chinese Central Bank adopted a variable exchange rate policy against the dollar, to 2015, and the data collected are quarterly. This work will attempt to answer the questions formulated below: 1. Are the euro/dollar and yuan/dollar rates affected by the same factors? 2. Is it possible to accurately predict the future values of an exchange rate? 3. In an attempt to forecast an exchange rate, what is the best forecasting model between the model taking into account the factors significantly influencing this rate and the one accounting only past values?