Asymmetric behavior of exchange rate in Tunisia: a nonlinear approach

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

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Exchange rate pass-through, Regime Change, LSTAR, Tunisia
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C24 - Truncated and Censored Models ; Switching Regression Models ; Threshold Regression Models; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation; F - International Economics > F3 - International Finance > F31 - Foreign Exchange; H - Public Economics > H6 - National Budget, Deficit, and Debt > H60 - General

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