Michel Boutillier

Foreign position in French francs: An econometric study with stock data over the EMS period

Abstract Modelling exchange rates is a difficult challenge. This paper assumes that a correct exchange rate model cannot depart from a portfolio balance approach and from a full description of supply and demand in the foreign exchange market. Therefore this work analyses the foreign position in French francs by using net claims (pictured as stock data and not as flow data) and the cointegration technique. The first part summarizes some experiments in macroeconomic modelling of exchange rates and especially underlines the differences between reduced and structural forms. The second part points out the microeconomic foundations of the portfolio balance models of exchange rates. The third part presents an econometric study of the foreign position in French francs derived from a structural model and based on net claim data. The main result is that speculative behaviour only exists in the short run and that hedge behaviour appears in the long run as well as in the short run. This is relevant with regard to the exchange controls existing for the greater part of the period under review (1979–1989).

The French Futures Bonds Market: Efficiency and Causality (In French)

The main topic of this paper is about the overall functionnning of the french futures bonds market. Three mains questions are asked: (1) Is the futures market inefficient? (2) Is there any free lunch between the future market and the spot market? (3) Does one of these markets play a leader role? Econometric tests give globally an negative answer to all these three questions. The arbitrages opportunities which have been detected in the period 86.12-90.06 can be explained by the restrictions to sell-short bonds in the french cash market. The two tests on the rationality of the expectations which have been undertaken (a times series test and a panel data test) yield the same conclusion : one cannot reject the assumption that the market is efficient. Finally, tests of causality between the future market and the cash market on daily data shows strong instantaneous correlation between them. Concerning delayed causality, the future market have played a leader role during the period 90.01-93.06 during which one has observed an overall stability of the futures prices.