Composition optimale du panier de devises dans un contexte de flottement généralisé

If a small country chooses to peg its exchange rate against some weighted average of foreign currencies -- a currency basket, the question immediately arises as to how should these weights be chosen. To analyse this problem requires the introduction of some optimality criteria which we take to be the stabilization of the elasticity-weighted real effective exchange rate about its equilibrium. The analysis is based on the work of Lipschitz and Sundararajan (1980). However, we revise and extend their analysis by taking into account the effects of some correlations between exchange rate and price movements which have been ignored.