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Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien
[Nonlinear trend and co-trending in the Tunisian real effective exchange rate]

Author

Listed:
  • Bouoiyour, Jamal
  • Marimoutou, Velayoudoum
  • Rey, Serge

Abstract

We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables are stationary around a nonlinear trend. So we highlight the presence of co-trending relationships between REER and the four fundamental. That confirms the presence of a common nonlinear trend.

Suggested Citation

  • Bouoiyour, Jamal & Marimoutou, Velayoudoum & Rey, Serge, 2003. "Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien [Nonlinear trend and co-trending in the Tunisian real effective exchange rate]," MPRA Paper 30249, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:30249
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Nonlinear trend; cotrending; real effective exchange rate; Tunisian dinar;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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