Photo Cécile Couharde

Cécile Couharde

Professeur(e)
  • Email
  • Tél. professionnel 0140977880
  • Bureau à Paris Nanterre (Bât. + num.) G608A
  • Axe de recherche

      Macroéconomie Internationale, Banque et Econométrie Financière

  • Thème(s)
    • Taux de change d'équilibre
    • Régimes de change
    • Intégration monétaire

2021-6 "Do IMF Reports Affect Market Expectations ? A Sentiment Analysis Approach"

Hamza Bennani, Cécile Couharde, Yoan Wallois

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Résumé
Nous introduisons une base de données originale basée sur le contenu qualitatif des Perspectives économiques régionales publiées par le Fonds monétaire international (FMI). Nous calculons plusieurs mesures du sentiment du FMI basées sur ces publications pour un échantillon composé de 16 pays localisés dans trois régions, Asie et Pacifique, Europe et Hémisphère ouest, de 2007 à 2018 et examinons leur impact sur les marchés financiers. Nous constatons que le contenu qualitatif de ces rapports a des répercussions importantes à court terme sur les rendements des marchés boursiers en Europe et sur les rendements des obligations en Asie et dans le Pacifique, ces répercussions disparaissant avec le temps. Nous démontrons également que l'impact exercé par le sentiment du FMI est robuste à l'utilisation d'une mesure alternative de sentiment qui se concentre exclusivement sur des termes négatifs.
Classification-JEL
F53, G15, Z13
Mot(s) clé(s)
Marchés financiers, Modèles à haute fréquence, FMI, Indicateur de sentiment, Analyse textuelle
Fichier

2021-11 "On the desirability of the West African monetary union"

Cécile Couharde, Carl Grekou, Valérie Mignon

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Résumé
Cet article a pour objectif d’analyser la désirabilité du projet ECO d’union monétaire de l’espace CEDEAO sous l’angle de la coordination des politiques. L’approche s’articule autour de la prise en compte des objectifs nationaux dans la perspective d’intégration régionale. En recourant à une analyse par grappes, nous identifions dans l’espace CEDEAO deux groupes de pays partageant des niveaux et dynamiques similaires de taux de change soutenables. Nous montrons également que ni un ancrage rigide à une monnaie, ni un flottement « pur » ne serait souhaitable pour aucun des pays. Dans l’ensemble, notre analyse plaide en faveur de deux ECOs; un pour chacune des deux zones identifiées. Chaque ECO servirait d’ancrage virtuel pour les monnaies nationales —avec un certain degré de flexibilité— et serait déterminé par un panier de monnaies.
Classification-JEL
F33, F45, C38, O55.
Mot(s) clé(s)
Intégration monétaire; Afrique de l’ouest; Zone franc CFA; CEDEAO.
Fichier

2020-32 "The Fata Morgana of Exchange Rate Regimes: Reconciling the LYS and the RR classifications"

Cécile Couharde, Carl Grekou

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Résumé
Cet article propose une analyse exhaustive des divergences entre deux classifications de facto de régimes de change les plus populaires mais aussi les plus discordantes: la classification de Reinhart et Rogoff et la classification de Levy-Yeyati et Sturzenegger. Nous estimons les probabilités de désaccord entre les deux classifications pour les différentes catégories de régimes de change et en déduisons une classification de synthèse à l'aide d'une analyse ROC (Receiver Operating Characteristic analysis). Nous montrons que plus d'un tiers des observations ne sont pas directement comparables et que relativement peu de points de désaccord sont directement attribuables aux variables utilisées par ces classifications. La plupart des désaccords proviennent (i) des différents seuils utilisés par les classifications dans la définition des catégories de régimes de change et (ii) des interactions entre plusieurs variables. En combinant différentes conceptions du régime de change, la classification de synthèse permet d'atteindre un taux de concordance plus élevé avec les autres classifications. Compte tenu de la complexité des désaccords entre les classifications, la classification de synthèse véhicule non seulement plus d'informations, mais permet également une plus grande objectivité que les classifications existantes.
Classification-JEL
E52; F33; F4; O24.
Mot(s) clé(s)
Régime de change; Modèle Probit; Analyse ROC.
Fichier

2019-17 "Reexamining the growth effects of ENSO: the role of local weather conditions"

Cécile Couharde, Olivier Damette, Rémi Generoso, Kamiar Mohaddes

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Résumé
Ce papier examine les effets exercés par le phénomène climatique ENSO sur la croissance de 74 pays entre 1975 et 2014, à travers l'interaction de ce phénomène avec les conditions météorologiques locales, mesurées ici par l'indice normalisé de précipitation et d'évapotranspiration (SPEI) . Ces indices hydro-climatiques permettent de prendre en compte des effets d'ENSO variant d'un pays à l'autre et dans le temps, de mettre en évidence des effets hétérogènes sur la croissance et d'éliminer une source potentielle de biais dû à l'omission de variables. En identifiant la persistance des effets ENSO sur les conditions hydro-climatiques locales, nous montrons que le phénomène climatique ENSO exerce des effets hétérogènes et locaux qui s'expliquent non seulement par les régimes climatiques qui caractérisent les pays, mais également par leurs conditions hydro-climatiques. Nos résultats suggèrent que l'analyse des effets d'ENSO sur la croissance devrait donc explicitement prendre en compte l'interaction de ce phénomène climatique avec les conditions météorologiques locales afin de mieux capturer l'hétérogénéité des pays.
Classification-JEL
O44, Q54, R11
Mot(s) clé(s)
Croissance, ENSO, conditions météorologiques
Fichier

2019-6 "Heterogeneity within the euro area: New insights into an old story"

Virginie Coudert, Cécile Couharde, Carl Grekou, Valérie Mignon

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Résumé
Cet article évalue l'hétérogénéité des pays au sein de la zone euro et son évolution au cours du temps en mesurant les écarts entre les trajectoires des taux de change d'équilibre des pays membres. Ces trajectoires d'équilibre découlent de la minimisation des mésalignements de change, obtenus en faisant correspondre les taux de change réels à leurs fondamentaux économiques. À l’aide d’analyses par clusters et factorielle, nous identifions deux groupes de pays distincts dans la période pré-Union économique et monétaire européenne (UEM), la Grèce étant clairement isolée des autres pays à cette époque. En comparant les résultats à ceux obtenus sur des périodes plus récentes, nous constatons des disparités croissantes entre ces deux groupes de pays, ainsi qu’au sein des groupes eux-mêmes. Globalement, nos conclusions illustrent l’émergence de déséquilibres macroéconomiques au sein de la zone euro avant la crise de 2008 et la fragmentation qui a suivi entre ses pays membres.
Classification-JEL
F33, F45, E5, C38
Mot(s) clé(s)
zone euro ; taux de change d’équilibre ; analyse par clusters ; analyse factorielle ; déséquilibres macroéconomiques
Fichier

2018-42 "Fossil fuel subsidies, income inequality and poverty. Evidence from developing countries"

Cécile Couharde, Sara Mouhoud

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Résumé
Ces deux dernières décennies ont été les témoins de nombreuses tentatives de la part des pays en développement visant à réformer les subventions aux énergies fossiles. S'il est probable que ces réformes entraîneront des gains en termes d'efficacité économique, leurs effets attendus en matière de redistribution des revenus et sur la pauvreté sont plus incertains. Dans cet article, nous passons en revue la littérature récente analysant les effets des subventions aux énergies fossiles ainsi que leurs réformes sur les inégalités de revenu et la pauvreté. Nous identifions les différents mécanismes de transmission qui ont été explorés par cette littérature et nous détaillons les principaux résultats empiriques démontrant l'importance de ces mécanismes. Sur la base des expériences menées dans divers pays, nous discutons également des défis engendrés par les réformes de ces subventions et mettons en évidence les différents moyens pour mener à bien de telles réformes.
Classification-JEL
E62, H71, I32
Mot(s) clé(s)
subventions aux énergies fossiles, pays en développement, impact redistributif, réformes des subventions
Fichier

2017-40 "The Importance of Oil in the Allocation of Foreign Aid: The case of the G7 donors"

Cécile Couharde, Fatih Karanfil, Eric Gabin Kilama, Luc-Désiré Omgba

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Résumé
While it is often alleged that oil endowment might influence the destination of foreign aid, there is lack of empirical evidence of how and why such an effect may come into play, and even less so of the channels through which it works. This paper aims to bring evidence that contributes to address those points. Specifically, we investigate the role of oil in aid allocation of the G7 donors, over the 1980-2010 period. Results show that, unsurprisingly, aid allocated by these donors increases significantly with oil endowment of recipient countries. Looking more deeply, we interestingly show that their strategic interests in terms of oil security play a role in their provision of aid. More importantly, we find evidence for competition for access to oil supplies among this group of donors.
Classification-JEL
F35, Q35, C31.
Mot(s) clé(s)
aid allocation, G7 donors, oil competition, spatial lag model.
Fichier

2017-39 "EQCHANGE: A World Database on Actual and Equilibrium Effective Exchange Rates"

Cécile Couharde, Anne-Laure Delatte, Carl Grekou, Valérie Mignon, Florian Morvillier

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Résumé
The aim of this paper is to present EQCHANGE, the new database developed by the CEPII on effective exchange rates. EQCHANGE includes two sub-databases containing
data on (i) nominal and real effective exchange rates, and (ii) equilibrium real effective exchange rates and corresponding currency misalignments for advanced, emerging and developing countries. More specifically, the first sub-database delivers effective exchange rates for 187 countries that are computed under three different weighting schemes and two panels of trading partners (186 and top 30) over the 1973-2016 period. The second sub-database provides behavioral equilibrium exchange rate (BEER) estimates and corresponding currency misalignments for 182 economies over the 1973-2016 period. We describe the construction of the two datasets and illustrate some possible uses by presenting results concerning the evolution and main characteristics of currency misalignments in the world from 2015 to 2016. By providing publicly available indicators of equilibrium exchange rates, EQCHANGE aims to contribute to key debates in international macroeconomics.
Classification-JEL
F31, C23, C82.
Mot(s) clé(s)
Exchange rates; Equilibrium exchange rates; Currency misalignments.
Fichier

2016-31 "Currency Misalignments in emerging and developing countries: reassessing the role of Exchange Rate Regimes"

Cécile Couharde, Carl Grekou

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Résumé
This paper re-examines empirically the relationship between exchange rate regimes and currency misalignments in emerging and developing countries. Using alternative de facto exchange rate regime classifications over the period 1980-2012, it finds strong evidence that performance of exchange rate regimes is conditional on the de facto classification. In particular, this paper shows that the effect of monetary arrangements on currency misalignments depends critically on the ability of these classification schemes to capture adequately dysfunctional monetary regimes.
Classification-JEL
C23, F31, F33.
Mot(s) clé(s)
Currency misalignments; Exchange rate regimes; Emerging and developing countries.
Fichier

2015-38 "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?"

Jean-Pierre Allegret, Cécile Couharde, Valérie Mignon, Tovonony Razafindrabe

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Résumé
While the oil currency property is clearly established from a theoretical viewpoint, its existence is less clear-cut in the empirical literature. We investigate the reasons for this apparent puzzle by studying the time-varying nature of the relationship between real effective exchange rates of five oil exporters and the real oil price in the aftermath of the oil price shocks of the last two decades. Accordingly, we rely on a time-varying parameter VAR specification which allows the responses of real exchange rates to different oil price shocks to evolve over time. We find that the reason of the mixed results obtained in the empirical literature is that oil currencies follow different hybrid models in the sense that oil countries' real exchange rates may be driven by one or several sources of oil price shocks that furthermore can vary over time. In addition to structural changes affecting oil countries, structural changes arising from the oil market itself through the various, time-varying sources of oil price shocks are found to be crucial.
Classification-JEL
C32; F31; Q43.
Mot(s) clé(s)
oil currencies, oil shocks, Time-Varying Parameter VAR model.
Fichier

2015-26 "Hydro-climatic thresholds and economic growth reversals in developing countries: an empirical investigation"

Cécile Couharde, Rémi Generoso

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Résumé
In this paper, we exploit the Global Standardized Precipitation and Evapotranspiration Index database to search for a nonlinear relationship between hydro-climatic conditions and economic growth on a sample of developing countries over the period 1980-2011. We evidence a nonlinear link between hydro-climatic conditions and economic growth only in developing agricultural-dependant countries, the impact of hydro-climatic variations being more easily absorbed in more diversified economies. Furthermore, threshold values reached by hydro-climatic conditions that drive changes in the pattern of economic growth are lower than to those corresponding to extreme weather conditions, suggesting a high sensitivity of economic growth in developing agricultural-dependent countries to small fluctuations in weather.
Classification-JEL
C33; 040; Q54.
Mot(s) clé(s)
Developing countries; Economic growth; Hydro-climatic conditions; Panel Smooth Transtion Regression (PSTR) model.
Fichier

2015-20 "External debt and real exchange rates’adjustment in the euro area: New evidence from a nonlinear NATREX model"

Audrey Allegret, Cécile Couharde, Serge Rey

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Résumé
In this paper we revisit medium- to long-run real exchange rate determination within the euro area, focusing on the role of external debt. Accordingly, we rely on the NATREX approach which provides an explicit framework of the external debt-real exchange rates nexus. In particular, given the indebtedness levels reached by the euro area economies, we investigate potential non-linearity in real exchange rates dynamics, according to the level of the external debt. Our results evidence that during the monetary union, gross and net external debt positions of the euro area countries have exerted pressures on real exchange rate dynamics within the area. Moreover, we find that, beyond a threshold reached by the external debt, euro area countries are found to be in a vulnerable position, leading to an unavoidable adjustment process. Nevertheless, the adjustment process, while effective, is found to be low and occurs slowly.
Classification-JEL
C23; F31; O47.
Mot(s) clé(s)
Euro area; External debt; NATREX approach; Panel Smooth Transition Regression models; Real exchange rates.
Fichier

2014-52 "Financial integration, financial turmoil and risk premia in emerging markets"

Salem Boubakri, Cécile Couharde, Hélène Raymond

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Résumé
The aim of this article is to study the dynamics of financial integration and of the risk premia in emerging markets. Accordingly, we estimate a variant of the International Asset Pricing Model (IAPM) developed by Errunza and Losq (1985) and Carrieri et al. (2007), allowing for time-varying stock market integration, in which we include the foreign currency risk. Our sample consists of monthly data for 12 emerging stock markets over the period 1988−2012. We find that the evolution of financial integration is broadly consistent with the de jure measure of capital openness, but much less sticky. Moreover, while the financial integration of emerging stock markets displays an upward trend, it has also registered short-term reversals episodes during crises. The upward trend in financial integration does not reduce the local market risk premium component as much as could be expected, as regional crises strengthen the idiosyncratic character of the risk premium. Finally, the recent global crisis has induced a reassessment of the world market risk premium for all emerging countries, highlighting the global nature of the crisis.
Classification-JEL
C32, F31, G12.
Mot(s) clé(s)
De facto financial integration, emerging markets, IAPM, risk premium.
Fichier

2014-37 "The ambiguous role of remittances in West African countries facing climate variability"

Cécile Couharde, Rémi Generoso

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Résumé
We investigate the consequences of remittances inflows on macroeconomic performance of West African countries over the 1985 - 2007 period. We take into account the exposition of those countries to climate variability by estimating a PCHVAR model which allows heterogeneity between countries’ responses to rainfall shocks. Our results show that the impact of remittances on macroeconomic performances is highly sensitive to those shocks. In particular, when drought conditions prevail, remittances do not longer exert any short-term spillover effects on growth and may increase a situation of economic dependence, by spurring agricultural imports.
Classification-JEL
C33; F24; O11
Mot(s) clé(s)
Climate variability; Remittances; PCHVAR model; West Africa
Fichier

2014-3 "On the impact of oil price volatility on the real exchange rate – terms of trade nexus: Revisiting commodity currencies"

Virginie Coudert, Cécile Couharde, Valérie Mignon

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Résumé
The aim of this paper is to study the relationship between terms of trade and real exchange rates of commodity-producing countries on both the short and the long run. We pay particular attention to the dominant role played by oil among commodities by investigating the potential non-linear effect exerted by the situation on the oil market on the real exchange rate - terms of trade nexus. To this end, we rely on the panel smooth transition regression methodology to estimate the adjustment process of the real effective exchange rate to its equilibrium value depending on the volatility on the oil market. Considering a panel of 52 commodity exporters and 17 oil exporters over the 1980-2012 period, our findings show that while exchange rates are mainly driven by fundamentals in the low-volatility regime, they are mostly sensitive to changes in terms of trade when oil price variations exceed a certain threshold. The commodity-currency property is thus at play in the short run only for important variations in the oil price.
Classification-JEL
C23 ; F31; Q43
Mot(s) clé(s)
commodity currencies, oil price, non-linearity
Fichier

2013-29 "Current accounts and oil price fluctuations in oil-exporting countries: the role of financial development"

Jean-Pierre Allegret, Cécile Couharde, Dramane Coulibaly, Valérie Mignon

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Résumé
Oil-exporting countries usually experience large current account improvements following a sharp increase in oil prices. In this paper, we investigate this oil price-current account relationship on a sample of 27 oil-exporting economies. Relying upon the estimation of panel smooth transition regression models over the 1980-2010 period, we provide evidence that refines the traditional interpretation of oil price effects on current accounts. While current accounts are positively affected by oil price variations, this effect is nonlinear and depends critically on the degree of financial development of oil-exporting economies. More specifically, oil price variations exert a positive impact on the current account position for less financially developed countries, while this influence tends to diminish when the degree of financial deepness augments.
Classification-JEL
F32, C33
Mot(s) clé(s)
current account; oil price; financial development; panel smooth transition regression models
Fichier

2012-34 "Revisiting the theory of optimum currency areas: Is the CFA franc zone sustainable?"

Cécile Couharde, Issiaka Coulibaly, David Guerreiro, Valérie Mignon

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Résumé
This paper aims at explaining why the CFA countries have successfully maintained a currency union for several decades, despite failing to meet many of optimum currency area criteria. We suggest that the CFA zone, while not optimal, has been at least sustainable. We test this sustainability hypothesis by relying on the Behavioral Equilibrium Exchange Rate (BEER) approach. In particular, we assess and compare the convergence process of real exchange rates towards equilibrium for the CFA zone countries and a sample of other sub-Saharan African (SSA) countries. Our findings evidence that internal and external balances have been fostered and adjustments facilitated in the CFA zone as a whole—compared to other SSA countries—as well as in each of its member countries.
Classification-JEL
F31 F33 C23
Mot(s) clé(s)
Equilibrium exchange rates; CFA zone; Optimum Currency Areas; currency union sustainability
Fichier

2012-30 "On currency misalignments within the euro area"

Virginie Coudert, Cécile Couharde, Valérie Mignon

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Résumé
Although nominal parities have been completely fixed within the euro area since the launch of the single currency, real effective exchange rates have continued to vary under the effect of inflation disparities, exhibiting a strong appreciation in the peripheral countries. In this paper, we assess real exchange rate misalignments for euro area countries by using a Behavioral Equilibrium Exchange Rate (BEER) approach on the period 1980-2010. The results show that the peripheral member countries have been suffering from increasingly overvalued exchange rates since the mid-2000s, as their real appreciation has not stemmed from improving fundamentals in terms of productivity or external position. In addition, currency misalignments have been increased on average for all euro area countries since monetary union, while becoming more persistent. More worryingly, our findings highlight different patterns across members, as misalignments have been larger and more persistent in peripheral countries than in core countries.
Classification-JEL
F31, C23
Mot(s) clé(s)
euro area; real equilibrium exchange rates; misalignments; panel cointegration
Fichier

2012-1 "The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity"

Jean-Pierre Allegret, Cécile Couharde, Cyriac Guillaumin

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Résumé
In this paper, we examine the relative importance of external shocks in domestic fluctuations of East Asian countries and check if these shocks lead to asymmetric or symmetric reactions between the considered economies. To this end, we estimate, over the period 1990.1-2010.4, a structural VAR model with block exogeneity (SVARX model) relying on a comprehensive set of external shocks. We firstly document a rising impact of these external shocks on domestic variables since the mid 1990s. Finally, real oil price and U.S. GDP shocks have a significant impact on domestic activity and lead to more symmetric responses, compared to U.S. monetary shock and MSCI Index financial shocks.
Classification-JEL
F32, F33, F4
Mot(s) clé(s)
external shocks, East Asia, SVARX model.
Fichier

2011-28 "Misalignments and Dynamics of Real Exchange Rates in the CFA Franc Zone"

Cécile Couharde, Issiaka Coulibaly, Olivier Damette

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Résumé
In this paper, we analyse currencies' misalignments of the CFA zone countries and the adjustment process of their real effective exchange rates towards their equilibrium level over the period 1985-2007. To this end, we firstly estimate, using panel cointegration techniques, a long term relationship between the real effective exchange rate and economic fundamentals. Secondly, we estimate a panel smooth transition error correction model in order to take into account non linearities in the convergence process of real exchange rates towards their equilibrium level. Two main results emerge from our analysis. Firstly, the real appreciation of effective exchange rates in the CFA zone countries from the 2000s did not translate, in 2007, into a real overvaluation comparable to that occurring before the devaluation of the CFA franc in 1994. However, some countries are exceptions, indicating a strong heterogeneity within the CFA zone. Finally, the convergence process of real effective exchange rates towards their equilibrium level also differs substantially between country groups. These results tend to show the difficulty to apply a single exchange rate policy in the CFA zone and rather call for further coordination and policy harmonization between the countries.
Classification-JEL
C23, F31, O1
Mot(s) clé(s)
CFA zone, misalignments, panel smooth transition model
Fichier
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