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An Empirical Test of Purchasing Power Parity of the Algerian Exchange Rate: Evidence from Panel Dynamic

Author

Listed:
  • Si Mohammed, Kamel
  • Chérif touil, Noreddine
  • Maliki, Samir

Abstract

The goal of this study is to examine the validity of the long-run purchasing power parity (PPP) for a sample of nine principle trade partners of Algeria namely Canada, China, Japan, Switzerland, Sweden, Turkey, the United Kingdom, the United States and the euro zone countries. Using panel error correction model (PECM) upon monthly data for the period 2003 M1 – 2015M5, results suggested that the bilateral exchange rate movements is a suitable to support the purchasing power parity (PPP) hypothesis. However, suggesting that there is long run relationship between exchange rates and relative prices in foreign courtiers by using panel cointegraion of Pedroni (1999, 2004), that can be interpreted by the validity of purchasing power parity for nine principle trade partners of Algeria

Suggested Citation

  • Si Mohammed, Kamel & Chérif touil, Noreddine & Maliki, Samir, 2015. "An Empirical Test of Purchasing Power Parity of the Algerian Exchange Rate: Evidence from Panel Dynamic," MPRA Paper 75285, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:75285
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    References listed on IDEAS

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    More about this item

    Keywords

    Algeria; panel cointegration; Purchasing Power Parity (PPP); panel error correction model (PECM);

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G00 - Financial Economics - - General - - - General

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