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Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries

Author

Listed:
  • Ferit Kula

    (Erciyes University, Faculty of Economics and Administrative Sciences, 38039, Kayseri, Turkey.)

  • Alper Aslan

    (Nevsehir Haci Bektas Veli University, Faculty of Economics and Administrative Sciences,50300, Nevsehir, Turkey.)

  • lhan zt rk

    (Cag University, Faculty of Economics and Business, 33800, Mersin, Turkey.)

Abstract

This study makes an attempt to examine the long run relationship between the official and black market exchange rates using monthly data for a sample of 13 Middle East and Northern African (MENA) countries from 1970 to 1998. Using the Pool Mean Group framework, the article provides evidence on proportional long run relationship between black and official market exchange rates in sample countries. The positive common long run official exchange rates (OEX) elasticity is statistically significant and slightly greater than one. The hypothesis of portfolio balance model is confirmed, implying that there exists a proportional long run equilibrium relationship between official exchange rates and black market exchange rates. However, the short run dynamics remain heterogeneous across countries.

Suggested Citation

  • Ferit Kula & Alper Aslan & lhan zt rk, 2014. "Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 4(3), pages 494-500.
    • Handle: RePEc:eco:journ1:2014-03-5
    as

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    References listed on IDEAS

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    3. Minh Tam Bui, 2018. "Causality in Vietnam’s Parallel Exchange Rate System during 2005–2011: Policy Implications for Macroeconomic Stability," Economies, MDPI, vol. 6(4), pages 1-20, December.

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    More about this item

    Keywords

    Black market exchange rate; official exchange rates; Panel data; Panel cointegration; MENA countries;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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