Open AccessPanel threshold regression model analysis of real effective exchange rate impact on the Arab Maghreb Union economic growth
Author(s) -
Kamel Helali
Publication year - 2021
Publication title -
journal of quantitative methods
Language(s) - English
Resource type - Journals
eISSN - 2522-2260
pISSN - 2522-2252
DOI - 10.29145/2021/jqm/050103
Subject(s) - economics , exchange rate , econometrics , volatility (finance) , panel data , regression analysis , effective exchange rate , monetary economics , mathematics , statistics
The purpose of this article was to explain the asymmetry of real effective exchange rate (REER) impact on economic growth for the Arab Maghreb Union during the period 1980-2019. This work sought to measure the adjustment rate of the exchange rate policy towards its equilibrium levels, justifying the use of nonlinear modelling. The complexity of the exchange rate dynamics has led to the application of the Panel Threshold Regression Model to test the hypothesis testifying for its effect on domestic economic growth. The empirical results reveal that the REER shows opposite effects below and over the estimated threshold. This highlights the asymmetrical effect of unforeseen shocks on its volatility.
JEL Classification: C33; F31; F43; O55; O57