Nominal exchange rate and monetary fundamentals: empirical evidence from Algeria over the span of 40 years | ASJP

Les cahiers du CREAD
Volume 37, Numéro 1, Pages 97-117
2021-03-29

Nominal Exchange Rate And Monetary Fundamentals: Empirical Evidence From Algeria Over The Span Of 40 Years

Authors : Mouhcene Hamrit . Aissa Hajab .

Abstract

This paper examines the long run relationship between exchange rate and its fundamentals on the basis of the flexible price monetary model to exchange rate determination, the Johansen multivariate technique is applied to an unrestricted version of the flexible price monetary model using annual data covering the period 1980-2017 between the Algerian dinar and US dollar, a strong evidence is found in favor of the existence of cointegration between nominal exchange rate, relative money supply and relative income, however, the restrictions imposed on the coefficients of the model are rejected which indicates that the process of exchange rate determination is too complex to be described as single equation of the monetary model.

Keywords

exchange rate ; monetary fundamentals ; JOHANSEN cointegration

تقييم دور البنك المركزي الجزائري في توجيه وتحديد سعر الصرف: دراسة قياسية على سعر الصرف الإسمي للدينار مقابل الدولار الأمريكي خلال الفترة(1990-2017) Evaluating The Role Of Central Bank Of Algeria In Guiding And Determination Of Exchange Rate: An Empirical Study On The Nominal Exchange Rate Of The Dinar/dollar During (1990- 2017)

بوزيان مختارية . بن يحي يحي .
ص 441-462.

Asymmetric Transmission Of Monetary Policy Through Interest Rate, Credit Volumes And Exchange Rate Channels Using Nonlinear Autoregressive Distributed Lags (nardl) Method: Evidence From Algeria.

Yahia Amel .
pages 469-494.

Disequilibrium Of The Real Exchange Rate In Algeria The Effectiveness Of The Parallel Exchange Rate

Faiza Si Mohammed . Yahia Haoulia .
pages 30-42.

The Non-linear Relationship Between Inflation, Real Effective Exchange Rate And Economic Growth In Algeria: An Empirical Study Using Threshold Autoregressive Model (tar) Over The Period (1980-2020)

Mahfoud Bouchra . Atil Assia . Benmazou Med-zakaria .
pages 289-304.

An Empirical Study On Real Exchange Rate Levels And The Role Of Macro-economic Indicators: Evidence From Algeria

Malika Maachi .
pages 373-388.