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

Listed author(s):
  • Rania Jammazi
  • Chaker Aloui

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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File URL: http://www.ipag.fr/wp-content/uploads/recherche/WP/IPAG_WP_2014_198.pdf
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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: 01 Jan 2014
Handle: RePEc:ipg:wpaper:2014-198
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Web page: http://www.ipag.fr

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  1. Daniel Levy & Hashem Dezhbakhsh, 2003. "On the typical spectral shape of an economic variable," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 417-423.
  2. Baillie, Richard T & Bollerslev, Tim, 1994. "The long memory of the forward premium," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 565-571, October.
  3. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
  4. Ritschl, Albrecht & Uebele, Martin, 2005. "Stock Markets and Business Cycle Comovement in Germany Before World War I: Evidence from Spectral Analysis," CEPR Discussion Papers 5370, C.E.P.R. Discussion Papers.
  5. Alvaro Aguirre & César Calderón, 2005. "Real Exchange Rate Misalignments and Economic Performance," Working Papers Central Bank of Chile 316, Central Bank of Chile.
  6. 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.
  7. 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.
  8. Dominique Guegan & Zhiping Lu, 2010. "Testing unit roots and long range dependence of foreign exchange," Documents de travail du Centre d'Economie de la Sorbonne 10059, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  9. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
  10. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers 2009-04, University of Stirling, Division of Economics.
  11. Josu Arteche & Peter M. Robinson, 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics 2241, London School of Economics and Political Science, LSE Library.
  12. Obstfeld, Maurice & Rogoff, Kenneth S., 1995. "Exchange Rate Dynamics Redux," Scholarly Articles 12491026, Harvard University Department of Economics.
  13. Evarist Stoja & Richard D. F. Harris & Fatih Yilmaz, 2010. "A Cyclical Model of Exchange Rate Volatility," Bristol Economics Discussion Papers 10/618, Department of Economics, University of Bristol, UK.
  14. 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.
  15. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
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