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Modélisation du Comportement du Taux de Change du Dinar Algérien: Une Investigation Empirique par la Méthode ARFIMA
[Modeling of the Algerian Dinar Exchange Rate: An empirical investigation using the ARFIMA techniques]

Author

Listed:
  • Aouad Hadjer, Soumia
  • Taouli, Mustapha Kamel
  • Benbouziane, Mohamed

Abstract

This paper deals with a very important topic and assiduously renewed, mainly ‘’The determination of exchange rates,'', we propose to study this issue for the case of Algeria where we try to model the behavior of the exchange rate of the dinar against major currencies in the foreign exchange market, the U.S. dollar, euro, pound sterling and Japanese yen using a series of daily quotations over the period (2000-2007) using ARFIMA models. These latters are characterized by their ability to model both long term and short term behavior. . Using the method of maximum likelihood, the study reveals the existence of long memory phenomenon for two sets out of the four studied, and finally, in the wake of Meese and Rogoff [1983], Sarno and Taylor [2002], Nelson, West and Kenneth [2007], Mignon and Sardic [1999] and many others we consider the beating of the random walk in forecasting exchange rate as a major criterion for accepting an exchange rates model.

Suggested Citation

  • Aouad Hadjer, Soumia & Taouli, Mustapha Kamel & Benbouziane, Mohamed, 2012. "Modélisation du Comportement du Taux de Change du Dinar Algérien: Une Investigation Empirique par la Méthode ARFIMA [Modeling of the Algerian Dinar Exchange Rate: An empirical investigation using t," MPRA Paper 38605, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:38605
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    References listed on IDEAS

    as
    1. Morten Ørregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 405-443.
    2. Sandrine Lardic & Valérie Mignon & Claude Jessua, 1996. "Les tests de mémoire longue appartiennent-ils au "camp du démon" ?," Revue Économique, Programme National Persée, vol. 47(3), pages 531-540.
    3. Michel Beine & Sebastien Laurent, 2000. "Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates," Econometric Society World Congress 2000 Contributed Papers 0312, Econometric Society.
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    5. Satchell, Stephen & Knight, John, 2007. "Forecasting Volatility in the Financial Markets," Elsevier Monographs, Elsevier, edition 3, number 9780750669429.
    6. Tschernig, R., 1994. "Long Memory in Foreign Exchange Rates Revisited," SFB 373 Discussion Papers 1994,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    7. Jin, Hyun J. & Elder, John & Koo, Won W., 2006. "A reexamination of fractional integrating dynamics in foreign currency markets," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 120-135.
    8. Morana, Claudio & Beltratti, Andrea, 2004. "Structural change and long-range dependence in volatility of exchange rates: either, neither or both?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 629-658, December.
    9. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
    10. Morten Ørregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 405-443.
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    More about this item

    Keywords

    Exchange rates - long memory - persistence- anti-persistence - ARFIMA-;

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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