Asymmetric behavior of exchange rate in Tunisia: a nonlinear approach

Wissem Boukraine

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Exchange rate pass-through; Regime Change; LSTAR; Tunisia (search for similar items in EconPapers)
JEL-codes: C24 E31 F31 H60 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-ara, nep-cba, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:102037

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