Algerian Dinar Exchange Rate, Between the PPP and the Random Walk Process hypotheses

An Econometric Study of the Period 1980-2017

  • Wassila Benbekhma Laboratory of the future Algerian economy excluding hydrocarbons, M’hamed Bougara University - Boumerdes -Algeria
  • Mohamed Boucha Laboratory of the future Algerian economy excluding hydrocarbons, M’hamed Bougara University - Boumerdes -Algeria
Keywords: Purchasing Power Parity, Stationary, Unit root tests with structural break, Gradual structural break, Discrete structural break

Abstract

This study aims to investigate the Algerian dinar’s exchange rate tendency to the PPP hypothesis or to a random walk process, using monthly data going from January 1980 up to December 2017. Based on first and second-generation unit root tests, alongside unit root tests with gradual and discrete structural breaks (Innovation Outlier, Additive Outlier). The results of this study show that Algerian dinar’s exchange rate exhibits a long-run relation with the PPP’s proposition under the gradual structural break case. Contrarily, no relation in the cases of the discrete structural break or using the first and second-generation unit root tests.

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Published
2021-06-06
How to Cite
Benbekhma, W., & Boucha, M. (2021). Algerian Dinar Exchange Rate, Between the PPP and the Random Walk Process hypotheses: An Econometric Study of the Period 1980-2017. Roa Iktissadia Review, 11(1), 15-30. Retrieved from https://roair.info/index.php/roair/article/view/223
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Articles