Modeling the Exchange Rates of Algerian Dinar per United States Dollar Using a Markov: Switching Autoregressive Model
| المصدر: | مجلة الاقتصاد التطبيقي والإحصاء |
|---|---|
| الناشر: | المدرسة الوطنية العليا للإحصاء والاقتصاد التطبيقي |
| المؤلف الرئيسي: | Merabet, Assia (Author) |
| المجلد/العدد: | مج18, ع1 |
| محكمة: | نعم |
| الدولة: |
الجزائر |
| التاريخ الميلادي: |
2021
|
| الشهر: | يونيو |
| الصفحات: | 56 - 67 |
| ISSN: |
1112-234x |
| رقم MD: | 1198731 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Exchange Rates | Nonlinearity | Transition Probabilities | Markov Switching Autoregressive Model
|
| رابط المحتوى: |
الناشر لهذه المادة لم يسمح بإتاحتها. |
| LEADER | 01858nam a22002177a 4500 | ||
|---|---|---|---|
| 001 | 1945012 | ||
| 041 | |a eng | ||
| 044 | |b الجزائر | ||
| 100 | |9 413757 |a Merabet, Assia |e Author | ||
| 245 | |a Modeling the Exchange Rates of Algerian Dinar per United States Dollar Using a Markov: |b Switching Autoregressive Model | ||
| 260 | |b المدرسة الوطنية العليا للإحصاء والاقتصاد التطبيقي |c 2021 |g يونيو | ||
| 300 | |a 56 - 67 | ||
| 336 | |a بحوث ومقالات |b Article | ||
| 520 | |b 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 nonlinear 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. | ||
| 653 | |a أسعار الصرف |a نظام ماركوف |a الدولار الأمريكي |a الدينار الجزائري | ||
| 692 | |b Exchange Rates |b Nonlinearity |b Transition Probabilities |b Markov Switching Autoregressive Model | ||
| 773 | |4 الاقتصاد |6 Economics |c 005 |e Journal of Statistics and Applied Economics |f Revue d'économie et de statistique appliquées. |l 001 |m مج18, ع1 |o 2344 |s مجلة الاقتصاد التطبيقي والإحصاء |v 018 |x 1112-234x | ||
| 856 | |u 2344-018-001-005.pdf | ||
| 930 | |d n |p y |q n | ||
| 995 | |a EcoLink | ||
| 999 | |c 1198731 |d 1198731 | ||
عناصر مشابهة
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بواسطة: عبدالهادي، أحمد إبراهيم ملاوي منشور: (2002) -
The Equilibrium Exchange Rate of the Algerian Dinar against the US Dollar
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بواسطة: Habib, Nagy M. منشور: (2008)
