scholarly journals Panel threshold regression model analysis of real effective exchange rate impact on the Arab Maghreb Union economic growth

2021 ◽  
Vol 5 (1) ◽  
pp. 51-78
Author(s):  
Helali Kamel
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Regression Model ◽  
Real Effective Exchange Rate ◽  
Threshold Regression ◽  
Effective Exchange ◽  
The Exchange Rate ◽  
Threshold Regression Model ◽  
Effective Exchange Rate ◽  
Panel Threshold Regression

The purpose of this article was to explain the asymmetry of real effective exchange rate (REER) impact on economic growth for the Arab Maghreb Union during the period 1980-2019. This work sought to measure the adjustment rate of the exchange rate policy towards its equilibrium levels, justifying the use of nonlinear modelling. The complexity of the exchange rate dynamics has led to the application of the Panel Threshold Regression Model to test the hypothesis testifying for its effect on domestic economic growth. The empirical results reveal that the REER shows opposite effects below and over the estimated threshold. This highlights the asymmetrical effect of unforeseen shocks on its volatility. JEL Classification: C33; F31; F43; O55; O57

scholarly journals THE IMPACT OF EXCHANGE RATE ON ECONOMIC GROWTH IN ALGERIA

2019 ◽  
Vol 7 ◽  
Author(s):  
Mohammed Touitou ◽  
Yacine Laib ◽  
Ahmed Boudeghdegh
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Real Effective Exchange Rate ◽  
Vector Autoregressive ◽  
The Real ◽  
Effective Exchange ◽  
The Exchange Rate ◽  
Effective Exchange Rate ◽  
The Impact ◽  
Growth Economic

The transmission of changes in the exchange rate to macroeconomic performance has led to debates about their impact, particularly on growth economic. Many economists consider the exchange rate as a transmission channel of economic policy for open economies. This article focuses to determining empirically the impact of the exchange rate on economic growth. For this, we will adopt an approach in terms of the vector autoregressive model (VAR) with four variables namely, the real effective exchange rate, economic growth, financial development with credit indicators and finally the money supply. The empirical results allow us to confirm our theoretical expectations that decline in the real effective exchange rate of the dinar increases the growth economy through public spending for consumption and is stimulated by oil taxation.

scholarly journals Impacts of the monetary policy on the exchange rate: case study of Vietnam

2019 ◽  
Vol 26 (2) ◽  
pp. 220-237
Author(s):  
Van Anh Pham
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Real Effective Exchange Rate ◽  
Content Type ◽  
Effective Exchange ◽  
Quantitative Results ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Effective Exchange Rate

Purpose The purpose of this paper is to evaluate and analyze impacts of the monetary policy (MP) – money aggregate and interest rate – on the exchange rate in Vietnam. Design/methodology/approach The study uses data over the period of 2008–2018 and applies the vector autoregression model, namely recursive restriction and sign restriction approaches. Findings The main empirical findings are as follows: a contraction of the money aggregate significantly leads to the real effective exchange rate (REER) depreciating and then appreciating; a tightening of the interest rate immediately causes the REER appreciating and then depreciating; and both the money aggregate and the interest rate strongly determine fluctuations of the REER. Originality/value The quantitative results imply that the MP affects the REER considerably.

Exploring exchange rate based policy coordination in SADC

2016 ◽  
Vol 33 (4) ◽  
pp. 576-594 ◽  
Author(s):  
Mulatu Fekadu Zerihun ◽  
Martinus C. Breitenbach ◽  
Francis Kemegue
Keyword(s):  
Exchange Rate ◽  
Policy Coordination ◽  
Policy Implications ◽  
Real Effective Exchange Rate ◽  
Monetary Integration ◽  
Content Type ◽  
Structural Variables ◽  
Effective Exchange ◽  
The Exchange Rate ◽  
Effective Exchange Rate

Purpose This paper explores the possibilities for policy coordination in the Southern African Development Community (SADC) as well as real effective exchange rate (REER) stability as a prerequisite towards sensible monetary integration. The underlying hypothesis goes with the assertion that countries meeting optimum currency area conditions face more stable exchange rates. Design/methodology/approach The quantitative analysis encompasses 12 SADC member states over the period 1995-2012. Correlation matrixes, dynamic pooled mean group (PMG) and mean group (MG) estimators and real effective exchange rate (REER) and real exchange rate (RER) equilibrium and misalignment analysis are carried out to arrive at the conclusions. Findings The study finds that the structural variables used in the PMG model show that there are common fiscal and monetary policy variables that determine REER/RER in the region. However, the exchange rate equilibrium misalignment analysis reveals that SADC economies are characterised by persistent overvaluation at least in the short term. This calls for further sustained policy coordination in the region. Practical implications The findings in this paper have important policy implications for economic stability and for the attempt of policy coordination in SADC region for the proposed monetary integration to proceed. Originality/value This study is the first attempt that relates the exchange rate as a policy coordination instrument among SADC economies.

Some dynamic macroeconomic perspectives for India’s economic growth

2020 ◽  
Vol 12 (4) ◽  
pp. 641-658
Author(s):  
Matiur Rahman ◽  
Anisul Islam
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Crude Oil ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
Content Type ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

Purpose The purpose of this paper is to study impacts of changes in crude oil price, money supply, fiscal deficit and effective exchange rate on India’s economic growth (expressing all variables in real term). Design/methodology/approach First, a simple macroeconomic model is formulated to this effect. Next, linear autoregressive distributed lag procedure and vector error-correction model are applied for growth empirics. Annual data are used from 1977 through 2015. Findings Rises in real crude oil price and monetized real fiscal deficits have negative short-run and long-run effects on real economic growth. Increase in real money supply and real effective exchange rate appreciation helps promote real economic growth in both short run and long run. In all cases, there is evidence of net interactive positive feedback effects among the variables in the short run. Real effective exchange rate appreciation dampens exports, but it is helpful to imports of capital goods and crude oil that contribute to economic growth. So, the net effect on the economy may be conjecturally positive. Originality/value To the best of the authors’ knowledge, this paper is unique because of the formulation of macro-economic model pertaining to the topic and its subsequent empirical verification. Moreover, this paper seems more comprehensive than some other studies, cited in the literature review.

scholarly journals Real exchange rate behaviour and economic growth: evidence from Sierra Leone

2011 ◽  
Vol 13 (1) ◽  
pp. 8-25 ◽  
Author(s):  
Abu Tarawalie
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Sierra Leone ◽  
Real Effective Exchange Rate ◽  
Causality Test ◽  
The Real ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
The Impact

The main focus of this paper is to examine the impact of the real effective exchange rate on economic growth in Sierra Leone. First an analytical framework is developed to identify the determinants of the real effective exchange rate. Using quarterly data and employing recent econometric techniques, the relationship between the real effective exchange rate and economic growth is then investigated. A bivariate Granger causality test was also employed as part of the methodology to examine the causal relationship between the real exchange rate and economic growth. The empirical results suggest that the real effective exchange rate correlates positively with economic growth, with a statistically significant coefficient. The results also indicate that monetary policy is relatively more effective than fiscal policy in the long run, and evidence of the real effective exchange rate causing economic growth was profound. In addition, the results showed that terms of trade, exchange rate devaluation, investment to GDP ratio and an excessive supply of domestic credit were the main determinants of the real exchange rate in Sierra Leone.

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