Munich Personal RePEc Archive

Asymmetric behavior of exchange rate in Tunisia: a nonlinear approach

Boukraine, Wissem (2020): Asymmetric behavior of exchange rate in Tunisia: a nonlinear approach.

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Abstract

This paper employs the smooth transition autoregressive models (STAR) to analyze Tunisian exchange rate pass-through on quarterly data over the period 2011Q4 2019Q4. The non linearity tests suggest that the LSTAR specification describes better the behavior of exchange rate pass-through in Tunisia and our empirical results confirm its nonlinearity. We found evidence on high pass-through to inflation through external debt in both regimes.

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