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Modélisation du Comportement du Taux de Change du Dinar Algérien: Une Investigation Empirique par la Méthode ARFIMA

Aouad Hadjer, Soumia and Taouli, Mustapha Kamel and Benbouziane, Mohamed (2012): Modélisation du Comportement du Taux de Change du Dinar Algérien: Une Investigation Empirique par la Méthode ARFIMA. Published in: International Research Journal of Finance and Economics , Vol. Issue, No. Issue 87 (2012) (2012): pp. 117-133.

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Abstract

This paper deals with a very important topic and assiduously renewed, mainly ‘’The determination of exchange rates,'', we propose to study this issue for the case of Algeria where we try to model the behavior of the exchange rate of the dinar against major currencies in the foreign exchange market, the U.S. dollar, euro, pound sterling and Japanese yen using a series of daily quotations over the period (2000-2007) using ARFIMA models. These latters are characterized by their ability to model both long term and short term behavior. . Using the method of maximum likelihood, the study reveals the existence of long memory phenomenon for two sets out of the four studied, and finally, in the wake of Meese and Rogoff [1983], Sarno and Taylor [2002], Nelson, West and Kenneth [2007], Mignon and Sardic [1999] and many others we consider the beating of the random walk in forecasting exchange rate as a major criterion for accepting an exchange rates model.

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