Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien

Bouoiyour, Jamal and Marimoutou, Velayoudoum and Rey, Serge (2003): Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien.

Abstract

We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables are stationary around a nonlinear trend. So we highlight the presence of co-trending relationships between REER and the four fundamental. That confirms the presence of a common nonlinear trend.

• Item Type: MPRA Paper
• English Title: Nonlinear trend and co-trending in the Tunisian real effective exchange rate
• Language: French
• Keywords: Nonlinear trend, cotrending, real effective exchange rate, Tunisian dinar
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General; F - International Economics > F3 - International Finance > F32 - Current Account Adjustment ; Short-Term Capital Movements; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; F - International Economics > F3 - International Finance > F31 - Foreign Exchange

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