Real exchange rates and fundamentals : robustness across alternative model specifications, Algerian case(1990-2019)‎

Joint Authors

Shitbani, Sayyidah
Mawhubi, Aissa

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

Economy

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, Aissa. 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, Aissa. 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, Aissa. 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