Modeling the exchange rates of Algerian dinar per United States dollar using a Markov-switching autoregressive model

مرابط آسيا

Article Details

Modeling the exchange rates of Algerian dinar per United States dollar using a Markov-switching autoregressive model

Authors:

مرابط آسيا

Publisher:

Ecole nationale supérieure en statistique et en économie appliquée

Journal:

Revue d'économie et de statistique appliquée Vol.18 Issue 1, pp.56-67

Document Type:

Article

Publication Date:

6/2021

Document Language:

English

Document ID (Org No.):

2001454779

pISSN:

2600-6642

Keywords:

Abstract:

 This paper aims to model the Algerian dinar per United States dollar exchange rates using a regime Markov switching model. Firstly, we detect if nonlinear model suits the data at hand, the BDS test and CUSUM of squares test were used and the results indicates that a non linear model suits the data. Then, we proceed by using a two state Markov switching autoregressive model (MS-AR) developed by (Hamilton, 1989), Engle, Hamilton, 1990) for a period from January 1994 to March 2018. The empirical evidence indicates strong transition probabilities suggesting that only extreme events can switch the series from an appreciation regime to depreciation regime vice versa. Furthermore, the MA (2)-AR (3) is well suited to capture the nonlinearity in exchange rates.

Article Details

Modeling the exchange rates of Algerian dinar per United States dollar using a Markov-switching autoregressive model

Authors:

مرابط آسيا

Publisher:

Ecole nationale supérieure en statistique et en économie appliquée

Journal:

Revue d'économie et de statistique appliquée Vol.18 Issue 1, pp.56-67

Document Type:

Article

Publication Date:

6/2021

Document Language:

English

Document ID (Org No.):

2001454779

pISSN:

2600-6642

Exchange rates

Nonlinearity

Transition probabilities

Markov-switching autoregressive model

Issues

Article Details

Modeling the exchange rates of Algerian dinar per United States dollar using a Markov-switching autoregressive model

Authors: مرابط آسيا

Publisher: Ecole nationale supérieure en statistique et en économie appliquée

Journal: Revue d'économie et de statistique appliquée Vol.18 Issue 1, pp.56-67

Document Type: Article

Publication Date: 6/2021

Document Language: English

Document ID (Org No.): 2001454779

pISSN: 2600-6642

Exchange rates

Nonlinearity

Transition probabilities

Markov-switching autoregressive model

Issues

Authors:

مرابط آسيا

Publisher:

Ecole nationale supérieure en statistique et en économie appliquée

Journal:

Revue d'économie et de statistique appliquée Vol.18 Issue 1, pp.56-67

Document Type:

Article

Publication Date:

6/2021

Document Language:

English

Document ID (Org No.):

2001454779

pISSN:

2600-6642