أثر الصدمات غير المتماثلة لسعر الصرف على معدل التضخم باستخدام نموذج NARDL : دراسة تطبيقية على الاقتصاد المصري

Abstract EN

This paper provides empirical evidence that exchange rate shocks on the inflation rate are asymmetric.

By using the Nonlinear Autoregressive Distributed Lag (NARDL) model and through monthly time series from January 2016 to December 2020, the study reached the following results.

First: The relationship between the exchange rate and the inflation rate is nonlinear, which means the effect of exchange rate shocks on the rate of inflation is asymmetric.

Second: The study proved quantitatively that the rate of inflation in the short term is affected only by positive shocks to the exchange rate, while it is not affected by negative shocks to the exchange rate, which means that the rate of inflation rises with increases in the exchange rate, Whereas, exchange rate declines do not reduce the rate of inflation.

Third: The impact of both positive and negative shocks of the exchange rate on the long-term inflation rate is not significant.

Fourth: The study revealed empirically, through dynamic multipliers, that the effect of changing positive shocks by 1% on the inflation rate is greater than the effect of changing negative shocks by 1% on the rate of inflation, upon every observation of the study sample.