Real exchange rates and fundamentals : robustness across alternative model specifications, Algerian case(1990-2019)
Joint Authors
Mawhubi, Isa
Shitbani, Sayyidah
Source
Journal of the Economic of Business and Finance
Issue
Vol. 6, Issue 2 (31 Dec. 2021), pp.583-600, 18 p.
Publisher
University of Echahid Hamma Lakhdar-el-Oued
Publication Date
2021-12-31
Country of Publication
Algeria
No. of Pages
18
Main Subjects
Topics
Abstract EN
This paper explores the robustness of behavioural equilibrium exchange rate (BEER) and natural equilibrium exchange rate (NATRAX) models, focusing on the appropriate approach for the Algerian currency exchange model with Algerian dinar real bilateral rates as dependent variable.
It consists, in the first step, to determinate the equilibrium real exchange rate using BEER approach developed by Macdonald (1995), and Natrex approach developed by Lim & Stein.
Cointegration technics and VECM models are used in this step.
In a second step, we should choose the appropriate approach by the comparison between the two approaches.
Obtained results show that the Natrex approach is advantageous in terms of degree of misalignment for the Algerian currency case.
Therefore, we can conclude that it can be closer to the Algerian economic specification.
American Psychological Association (APA)
Shitbani, Sayyidah& Mawhubi, Isa. 2021. Real exchange rates and fundamentals : robustness across alternative model specifications, Algerian case(1990-2019). Journal of the Economic of Business and Finance،Vol. 6, no. 2, pp.583-600.
https://search.emarefa.net/detail/BIM-1301480
Modern Language Association (MLA)
Shitbani, Sayyidah& Mawhubi, Isa. Real exchange rates and fundamentals : robustness across alternative model specifications, Algerian case(1990-2019). Journal of the Economic of Business and Finance Vol. 6, no. 2 (Dec. 2021), pp.583-600.
https://search.emarefa.net/detail/BIM-1301480
American Medical Association (AMA)
Shitbani, Sayyidah& Mawhubi, Isa. Real exchange rates and fundamentals : robustness across alternative model specifications, Algerian case(1990-2019). Journal of the Economic of Business and Finance. 2021. Vol. 6, no. 2, pp.583-600.
https://search.emarefa.net/detail/BIM-1301480
Data Type
Journal Articles
Language
English
Notes
Includes appendices : p. 594-600
Record ID
BIM-1301480