Exchange rate dynamics and international fluctuations.

Summary The purpose of this thesis is to study the macroeconomic determinants of the exchange rate within the framework of the new international macroeconomics project. This trend integrates traditional Keynesian features, such as market imperfections, into intertemporal general equilibrium models whose microeconomic foundations are fully explicit. The models of the new international macroeconomics, which revive the teachings of Mundell and Fleming, have been confronted with the data using the methodology of real cycles. The first chapter reminds us that macroeconomic models are unable to explain the high volatility of real and nominal exchange rates or the interdependence observed between the main industrialized countries. The first part attempts to explain these two empirical puzzles by emphasizing the role of nominal impulses in exchange rate dynamics. In this respect, we show the importance of the presence of rigidities in the market for tradable (chapter two) and non-tradable goods (chapter three) as well as in the market for loanable funds (chapter four). On this last point, we show that overadjustment à la Dombusch [1976] is a quantitatively relevant phenomenon in explaining the volatility of the nominal exchange rate. The second part of this thesis is devoted to the study of the impact of the exchange rate regime on exchange rate dynamics and international fluctuations. Chapter five highlights the increased interdependence of the member countries of the European Monetary System in the post-accession period. Moreover, unlike real and nominal exchange rates, the variability of macroeconomic variables such as output, employment, consumption and investment is not sensitive to the nature of the exchange rate regime. In chapter six, we attempt to account for these two stylized facts.