[article] 
in Les cahiers de l'IFID > 2 [01/04/2021] . - 19 p.

Titre :	Real exchange rate misalignments and Current-account balance : Evidence from Tunisia A copula approach
Type de document :	texte imprimé
Auteurs :	Rihab zoghlami, Auteur
Année de publication :	2021
Article en page(s) :	19 p.
Langues :	Anglais
Mots-clés :	Real Effective Exchange Rate (REER)  Real exchange rate (RER)  Behavioral Equilibrium Exchange Rate (BEER)  Current-Account (CA)  bivariate Copulas
Résumé :	The need to explain the link between the real effective exchange rate and the current-account balance is highly controversial and still attracts the interest of economists worldwide. Consequently, modeling such a dependency is a key focus for investors as well as for policymakers. In this paper, the Tunisian Behavioral Equilibrium Exchange Rate (BEER) is estimated in such a way as to examine in depth the possibility of a real misalignment. Thereafter, the bivariate dependence structure between the estimated misalignment series and the current account is analyzed using a copula approach. Tunisia’s REER was alternating between overvaluation and undervaluation periods with critical episodes of high misalignment. Real exchange rate misalignments affect the current account gap differently, depending on the sign and the size of REER deviation from its equilibrium esteem. REER misalignments have negative and asymmetric impact on the current-account: while currency overvaluation deteriorates the current-account, undervaluation does not improve it.

[article] Real exchange rate misalignments and Current-account balance : Evidence from Tunisia A copula approach [texte imprimé] / Rihab zoghlami, Auteur . - 2021 . - 19 p.
Langues : Anglais
in Les cahiers de l'IFID > 2 [01/04/2021] . - 19 p.

Mots-clés :

Real Effective Exchange Rate (REER)  Real exchange rate (RER)  Behavioral Equilibrium Exchange Rate (BEER)  Current-Account (CA)  bivariate Copulas

Résumé :

The need to explain the link between the real effective exchange rate and the current-account balance is highly controversial and still attracts the interest of economists worldwide. Consequently, modeling such a dependency is a key focus for investors as well as for policymakers. In this paper, the Tunisian Behavioral Equilibrium Exchange Rate (BEER) is estimated in such a way as to examine in depth the possibility of a real misalignment. Thereafter, the bivariate dependence structure between the estimated misalignment series and the current account is analyzed using a copula approach. Tunisia’s REER was alternating between overvaluation and undervaluation periods with critical episodes of high misalignment. Real exchange rate misalignments affect the current account gap differently, depending on the sign and the size of REER deviation from its equilibrium esteem. REER misalignments have negative and asymmetric impact on the current-account: while currency overvaluation deteriorates the current-account, undervaluation does not improve it.