حساسية تقلبات سعر الصرف الدينار الجزائري للصدمات النقدية بتطبيق نموذج VAR

Abstract EN

We aim through this study to examine the impact of monetary variables on the Algerian dinar exchange rate during the period from 1980 to 2017 using the technique of vector autoregression model, After studying the stability of the variables and then analysis of random shocks and analysis of variance.

The results show that the real interest rate has a significant role in the interpretation of the exchange rate within the monetary variables in Algeria in the short term.

In addition, the results of the assessment model reflects a clear agreement with the monetary approach to exchange rate expectations, which states that monetary variables a prominent role in the interpretation of exchange rate fluctuations.