Inflation, money, interest rate, exchange rate, and casuality: the case of Egypt, Morocco, and Tunisia

Deme, Mamit; Fayissa, Bichaka

doi:10.1080/00036849500000104

Cited by 19 publications

(13 citation statements)

References 11 publications

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“…While studies on inflation determinants that include monetary market rates as determinants of inflation are abundant, they are primarily confined to country settings, such as Blix (1999)'s study of Swedish inflation and Bleaney and Fielding (1999)'s study of inflation determinants for developing countries. We introduce the TMM as it accounts for the effects of Tunisia's monetary policy on both inflation and the exchange rate (Dropsy and Grand, 2008;Khan, 2003, Deme andFayissa, 1995). The monthly TMM series and values are provided by the Central Bank of Tunisia.…”

Section: Data and Variables Descriptionmentioning

confidence: 99%

“…It is noted that in less developed countries (Tunisia in particular) where import goods are different from those for the home market, this impact depends on the relative substitutability between home and export goods. Following Deme and Fayissa (1995), we consider the import unit values (M) in our variables set. Data regarding exports and imports are extracted from the International Financial Statistics-IMF and the annual reports of the Central Bank of Tunisia.…”

Section: Data and Variables Descriptionmentioning

confidence: 99%

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Exchange Rate Pass-Through and Inflation Dynamics in Tunisia: A Markov-Switching Approach

Khemiri

Ali

2013

Economics

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This paper studies the effect of exchange rate pass-through on inflation in Tunisia for the period 2001 to 2009. The objective is to track inflation regimes for the Tunisian economy and to forecast its determinants. Using a Markov-switching approach, the authors identified two main regimes for inflation in Tunisia during this period: a low and stable inflation regime associated with a low pass-through level and a high inflation regime associated with a high pass-through level. To highlight the mechanisms underlying shifts in inflation regimes, the authors used a time-varying probabilities approach and identified a set of variables to assess their effects on inflation in Tunisia. The results show that the price level decreases in response to an increase in interest rates. Along with this, the empirical results provide strong evidence that the industrial production index has a negative and significant effect, as it increases the probability to stay in an inflationary regime and remain at a high pass-through level. The results also show robust support for the hypothesis that the imports increase the probability to stay in a high-inflation regime and maintain a high pass-through level. However, exports increase the probability of staying in a low-inflation regime and maintaining a low pass-through level. JEL G15 F3 F4

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Section: Data and Variables Descriptionmentioning

confidence: 99%

Section: Data and Variables Descriptionmentioning

confidence: 99%

Exchange Rate Pass-Through and Inflation Dynamics in Tunisia: A Markov-Switching Approach

Khemiri

Ali

2013

Economics

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“…In this case, the drawing down of foreign exchange reserves increased the sovereign risk premium. On the other hand, Deme and Fayissa (1995) point out that in the early 1980s in Egypt, inflation steadily rose, reaching an annual growth rate of 14.6%.…”

Section: Robustness Check: Gmmmentioning

confidence: 99%

The Determinants of Sovereign Risk Premium in African Countries

Mpapalika

Malikane

2019

JRFM

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This paper investigates the determinants of the sovereign risk premium in African countries. We employ the dynamic fixed effects model to determine the key drivers of sovereign bond spreads. Country-specific effects are fixed and the inclusion of dummy variables using the Bai–Perron multiple structural break test is significant at a 5% level. For robustness, the time-series generalized method of moments (GMM) is used where the null hypothesis of the Sargan Test of over-identifying restrictions (OIR) and the Arellano–Bond Test of no autocorrelation are not rejected. This implies that the instruments used are valid and relevant. In addition, there is no autocorrelation in the error terms. Our results show that the exchange rate, Money supply/GDP (M2/GDP) ratio, and trade are insignificant. Furthermore, our findings indicate that public debt/GDP ratio, GDP growth, inflation rate, foreign exchange reserves, commodity price, and market sentiment are significant at a 5% and 10% level.

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“…Monetarists advocate that the rate of inflation (∆p t ) should equal the growth rate of the nominal money supply (∆m t s ) minus the growth rate of real money demand (∆(m d /p)) (Abel and Bernanke (2001), Deme and Fayissa (1995) and Darrat and Arize (1990)).…”

Section: Working Modelmentioning

confidence: 99%

Base Money and Exchange Rate: Sources of Inflation in Indonesia during the Post-1997 Financial Crisis

Siregar

Rajaguru

2005

JEI

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The magnitude of the rise in inflation rate in Indonesia during the height of the 1997 financial crisis was among the sharpest that the East Asian economies has ever witnessed in the recent decades. This paper empirically tests the monetary hypotheses of inflation and compares and contrasts the sources of price changes during the pre-and post-1997 financial crisis. We find a high explanatory power of the monetary model for the post-crisis period, but not for the pre-crisis. The high volatilities of the local currency and the unprecedented rapid growth rate of base money during the post-crisis are found to be the two key monetary determinants of the inflation in the country.

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Inflation, money, interest rate, exchange rate, and casuality: the case of Egypt, Morocco, and Tunisia

Cited by 19 publications

References 11 publications

Exchange Rate Pass-Through and Inflation Dynamics in Tunisia: A Markov-Switching Approach

Exchange Rate Pass-Through and Inflation Dynamics in Tunisia: A Markov-Switching Approach

The Determinants of Sovereign Risk Premium in African Countries

Base Money and Exchange Rate: Sources of Inflation in Indonesia during the Post-1997 Financial Crisis

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