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Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case

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  • Rania Jammazi
  • Chaker Aloui

Abstract

The purpose of this paper is to question the traditional conventional view on the exchange rate targeting that real shocks have

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Bibliographic Info

Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-198.

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Length: 30 pages
Date of creation: 28 Mar 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-198

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Related research

Keywords: exchange rates; time series decomposition; HML test; dual long memory.;

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References

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  1. Engel, C. & Kim, C.J., 1996. "The Long-Run U.S./U.K. real Exchange Rate," Discussion Papers in Economics at the University of Washington 96-14, Department of Economics at the University of Washington.
  2. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  3. King, Robert G & Watson, Mark W, 1996. "Money, Prices, Interest Rates and the Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 35-53, February.
  4. Zhiping Lu & Dominique Guegan, 2011. "Testing unit roots and long range dependence of foreign exchange," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 631-638, November.
  5. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies.
  6. Albrecht Ritschl & Martin Uebele, 2005. "Stock Markets and Business Cycle Comovement in Germany before World War I: Evidence from Spectral Analysis," SFB 649 Discussion Papers SFB649DP2005-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. A. H. Ahmad & Eric J. Pentecost, 2009. "Sources Of Real Exchange Rate Fluctuations: Empirical Evidence From Nine African Countries," Manchester School, University of Manchester, vol. 77(s1), pages 66-84, 09.
  8. Baillie, R.T. & Bollerslev, T., 1993. "The Long Memory of the Foreward Premium," Papers 9203, Michigan State - Econometrics and Economic Theory.
  9. Harris, Richard D.F. & Stoja, Evarist & Yilmaz, Fatih, 2011. "A cyclical model of exchange rate volatility," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3055-3064, November.
  10. Obstfeld, Maurice & Rogoff, Kenneth, 1995. "Exchange Rate Dynamics Redux," Journal of Political Economy, University of Chicago Press, vol. 103(3), pages 624-60, June.
  11. Alvaro Aguirre & César Calderón, 2005. "Real Exchange Rate Misalignments and Economic Performance," Working Papers Central Bank of Chile 316, Central Bank of Chile.
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