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The Impact of the Exchange Rate on Balance of Payments in Algeria: An ARDL Model Approach

Author

Listed:
  • Djamal Dekkiche

    (Research laboratory in financial market management using automated media and Mathematics; Relizane University, Algeria)

  • Yassine Mimouni

    (Research laboratory in Financial Market Management Using Mathematical Methods and Automated Media, Ahmed Zabana University-Relizane, Algeria)

  • Soufyane Bouguetaia

    (Research Laboratory in Financial Market Management Using Mathematical Methods and Automated Media, Ahmed Zabana University-Relizane, Algeria)

Abstract

This study aims at examining the extent to which the exchange rate impacts on balance of payments in Algeria (BoP) during the period 1980-2019, using the Auto-Regressive Distributed Lag (ARDL) model and the Error Correction Model (ECM). This approach tests the presence of a long-run relationship between the variables.A set of relevant variables, in addition to exchange rate, were used to include real interest rate, oil price, GDP per capita, Government expenditure, and inflation rate, based on previous studies of the subject. The results indicate the existance of a long-run equilibrium relationship between the dependent and independent variables. The exchange rate has a negative impact on the balance of payments in the short-run.

Suggested Citation

  • Djamal Dekkiche & Yassine Mimouni & Soufyane Bouguetaia, 2022. "The Impact of the Exchange Rate on Balance of Payments in Algeria: An ARDL Model Approach," Economic Themes, Sciendo, vol. 60(1), pages 95-117, March.
    • Handle: RePEc:vrs:ecothe:v:60:y:2022:i:1:p:95-117:n:1
    DOI: 10.2478/ethemes-2022-0006
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    References listed on IDEAS

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    1. Martins Iyoboyi & Olarinde Muftau, 2014. "Impact of exchange rate depreciation on the balance of payments: Empirical evidence from Nigeria," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-23, December.
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    Cited by:

    1. Marwa Elsherif, 2024. "Modelling Inflation Dynamics and Global Oil Price Shocks in OAPEC Countries: TVP-VAR," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 51-69, May.

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    More about this item

    Keywords

    Balance of payments; Exchange rate; Interest rate; Inflation rate; ECM Approach; ARDL Model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
    • P24 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - National Income, Product, and Expenditure; Money; Inflation

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