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

Kamel Si Mohammed, Noreddine Chérif touil and Samir Baha-Eddine Maliki ()

MPRA Paper from University Library of Munich, Germany

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

Keywords: Algeria; panel cointegration; Purchasing Power Parity (PPP); panel error correction model (PECM) (search for similar items in EconPapers)
JEL-codes: F31 G00 (search for similar items in EconPapers)
Date: 2015-11
New Economics Papers: this item is included in nep-ara
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Published in An Empirical Test of Purchasing Power Parity of the Algerian Exchange Rate: Evidence from Panel Dynamic 11.3(2015): pp. 19-27

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