Bouteldja, Abdelnacer and Benamar, Abdelhak and Maliki, Samir (2013): The Black Market Exchange Rate and Demand for Money in Algeria. Published in: International Journal of Arts and Commerce , Vol. 2, (November 2013): pp. 71-82.
PDF
MPRA_paper_75241.pdf Download (143kB) |
Abstract
The aim of this paper is to examine empirically the effects of black market exchange rate on the demand for money in Algeria where due to government restrictions and controls on foreign exchange, two exchange rates (official and black) coexist and operate simultaneously. The discrepancy between the two rates has intensified since the adoption of the (S.A.P) in 1994.Using quarterly data for the 1974-2005 and an ARDL approach combined with CUSUM and CUSUMSQ,our results provide further evidence in favor to the inclusion of black market exchange rate rather than official rate issue.
Item Type: | MPRA Paper |
---|---|
Original Title: | The Black Market Exchange Rate and Demand for Money in Algeria |
English Title: | The Black Market Exchange Rate and Demand for Money in Algeria |
Language: | English |
Keywords: | Money demand; Black market exchange rate; ARDL Bounds testing approach |
Subjects: | E - Macroeconomics and Monetary Economics > E0 - General G - Financial Economics > G0 - General |
Item ID: | 75280 |
Depositing User: | Samir Baha-eddine Maliki |
Date Deposited: | 29 Nov 2016 13:23 |
Last Modified: | 27 Sep 2019 13:15 |
References: | Arango, S., Nadiri, Ishaq M., 1981. Demand for money in open economies. J. Monetary Econ. 7, 69–83. Arize, A. (1989). An econometric investigation of money demand behaviour in four Arize, A. C. and Shwiff, S. S. ( 1993). Cointegration, Real Exchange Rate and Modelling the Demand for Broad Money in Japan, Applied Economics25 (6): 717-726. Arize, Augustine C., and Steven S. Shwiff. 1998. “The Appropriate Exchange-rate Variable in the Money Demand of 25 Countries: An Empirical Investigation.” The North American Journal of Economics and Finance 9 (2): 169–185. Asian developing countries, International Economic Journal, 3(4): 79-93. Bahmani-Oskooee, M., 1996. The black market exchange rate and demand for money in Iran. J. Macroecon.18, 171–176. Bahmani-Oskooee, M., Malixi, M., 1991. Exchange rate sensitivity of the demand for money in developing countries. Appl. Econ. 23, 1377–1384. Bahmani-Oskooee, M., Pourheydarian, M., 1990. Exchange rate sensitivity of the demand for money and effectiveness of fiscal and monetary policies. Appl.Econ. 22, 917–925. Bahmani-Oskooee, M., Rehman, H., 2005. Stability of the demand for money function in Asian developing countries. Appl. Econ. 37, 773–792. Bahmani-Oskooee, Mohsen, and Altin Tanku. 2006. “Black Market Exchange Rate, Currency Substitution and the Demand for Money in LDCs.” Economic Systems30 (3): 249–263. Blejer, Mario I. 1978. “Exchange Restrictions and the Monetary Approach to the Exchange Rate.” The Economics of Exchange Rates: Selected Studies, Edited by JA Frankel and HG Johnson. London: Addison-Wesley: 117–28. Case of Sudan' Journal of Development Economics 26(1987)257-275. Chowdhury,A.R.,1997. The financial structure and the demand for money in Thailand.Appl.Econ.29,401–409. Domowitz, I. and I. Elbadawi, 'An Error Correction Approach to Money Demand: The Engle, R.F., and C.W.J. Granger. 1987. “Co-integration and Error Correction: Representation, Estimation, and Testing.” Econometrica 55: 251–276. Goldfeld, S.M. 1994. “Demand for money: empirical studies“, in The New Palgrave Dictionary of Money & Finance, Edited by P. Newman, M. Milgrate and J. Eatwell. London: Macmillan Press. Hafez, UR, Muhammad Afzal, 2003. The Black Market Exchange Rate and Demand for Money in Pakistan:A cointegration analysis. Pakistan Economic and Social Review XLI, N°. 1&2, 13-28 Harris, Richard ID, and Robert Sollis. 2003. Applied Time Series Modelling and Forecasting. J. Wiley. http://www.lavoisier.fr/livre/notice.asp?id=OKLWOSAKKK2OWI. Hassan, M. Kabir, and Tatak Suryadi. 1993. “An Econometric Investigation of the Determinants of the Demand for Money in Indonesia.” The Singapore Economic Review 38 (1). Hassan, M. Kabir, K. Choudhury, and M. Waheeduzzaman. 1995. “On Black Market Exchange Rate and Demand for Money in Developing Countries: The Case of Nigeria.” Atlantic Economic Journal 23 (1):35–44. Hassan, M. Kabir. 1992. “An Econometric Analysis of Credit Constraint, Foreign Interest Rates and Currency Depreciation in the Demand for Money in Bangladesh.” The Bangladesh Development Studies: 25–45. Johansen, S., 1988. Statistical analysis of cointegration vectors. J. Econ. Dyn. Control 12, 231–254. Johansen, S., Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bull. Econ. Stat. 52, 169–210. Laidler, E.W.D., 1993. The Demand for Money: Theories, Evidence and Problems, 4th ed. Harper Collins College Publishers, New York. Lee, T.H., Chung, K.J., 1995. Further results on the long-run demand for money in Korea: a cointegration analysis. Int. Econ. J. 9, 103–113. McNown, R., Wallace, M.S., 1992. Cointegration tests of a long-run relationship between money demand and the effective exchange rate. J. Int. Money Finance 11, 107–114. Mundell, R.A., 1963. Capital mobility and stabilization policy under fixed and flexible exchange rates.Can.J. Econ. Pol. Sci. 29, 475–485. Narayan, Paresh Kumar. 2005. “The Saving and Investment Nexus for China: Evidence from Cointegration Tests.” Applied Economics 37 (17): 1979–1990. Odedokun, M.O., 1996. Black market exchange behaviour in African countries: evidence from an eclectic model. Afr. Dev. Rev. 8, 1–19. Pesaran, M. Hashem, Yongcheol Shin, and Ron P. Smith. 1999. “Pooled Mean Group Estimation of Dynamic Heterogeneous Panels.” Journal of the American Statistical Association 94 (446): 621–634. Pesaran, M.H. 1997. “The Role of Economic Theory in Modelling the Long Run.” The Economic Journal 107: 198–191. Pesaran, M.H., Shin, Y., Smith, R.J., 2001. Bounds testing approaches to the analysis of level relationships. J. Appl. Econometrics 16, 289–326. Pozo, Susan and Mark Wheeler (2000), Exchange-rate uncertainty and dollarization: A structural vector error correction approach to estimating money demand. Applied Financial Economics, Volume 10,pp.685-692. Tabesh, Hamid.2000.“Demand for Money and the Black Market Exchange Rate Expectations: Further Empirical Evidence.” Journal of Economics 26 (2): 1–9. Wong, Chorng-huey.1977. “Demand for Money in Developing Countries: Some Theoretical and Empirical Results.” Journal of Monetary Economics 3 (1): 59–86. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/75280 |