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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.

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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.

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