Crise de change et politique monétaire optimale dans un modèle de troisième génération : le rôle de la prime de risque.

This article relates to the choice of the optimal monetary policy during a currency crisis. Aghion, Bacchetta and Banerjee (1999, 2000, 2001) show that a restrictive monetary policy is optimal if economy is strongly in debt in foreign currency and if the effect of credit channel is weak. However, this result is obtained with an assumption of perfect substituability of assets - the risk premium is equal to zero. The introduction of a risk premium in the theoretical model can be justified with an econometric approach for Thailand and to a lesser extent for South Korea. The efficiency of the monetary policy during a currency crisis is reduced when the risk premium plays an important part in the determination of the interest rate differential. Under these conditions, capital controls could be a more adequate policy to manage a currency crisis.