Asymmetric behavior of exchange rate in Tunisia: a nonlinear approach

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.

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Year of publication:	2020
Authors:	Boukraine, Wissem

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Boukraine, Wissem (2020): Asymmetric behavior of exchange rate in Tunisia: a nonlinear approach.
Classification:	C24 - Truncated and Censored Models ; E31 - Price Level; Inflation; Deflation ; F31 - Foreign Exchange ; H60 - National Budget, Deficit, and Debt. General
Source:	BASE

Persistent link: https://www.econbiz.de/10015213947