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Asymmetric behavior of exchange rate in Tunisia: a nonlinear approach

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  • Boukraine, Wissem

Abstract

This paper employs the smooth transition autoregressive models (STAR) to analyze Tunisian exchange rate pass-through on quarterly data over the period 2011Q4 2019Q4. The non linearity tests suggest that the LSTAR specification describes better the behavior of exchange rate pass-through in Tunisia and our empirical results confirm its nonlinearity. We found evidence on high pass-through to inflation through external debt in both regimes.

Suggested Citation

  • Boukraine, Wissem, 2020. "Asymmetric behavior of exchange rate in Tunisia: a nonlinear approach," MPRA Paper 102037, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:102037
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    Keywords

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    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • H60 - Public Economics - - National Budget, Deficit, and Debt - - - General

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