Hard currency inflows and sterilization policy in Algeria: An ARDL approach
This paper aims to explore to what degree the Algerian Bank sterilized hard currency inflows using monthly data covering the period January 2002-December 2016, by estimating a sterilization coefficient in both long and short run terms using and ARDL approach, and also by applying a TYDL Granger caus...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2017-09-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1296.pdf
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| Summary: | This paper aims to explore to what degree the Algerian Bank sterilized hard currency
inflows using monthly data covering the period January 2002-December 2016, by estimating a
sterilization coefficient in both long and short run terms using and ARDL approach, and also by
applying a TYDL Granger causality to investigate the relationship among concerned variables.
Our results showed that there are four co-integration vectors among the variables, and the
evidence suggested that the sterilization coefficient is equal to -0.99, i.e. near to the minus one (-1)
which indicates the full sterilization (Algerian Bank roughly sterilizes 99% of the frequent hard
currency inflows in both short-run and long-run terms). Indeed, the results also indicated that
there are three unidirectional causalities running from Algerian bank’s net domestic and foreign
assets to the money multiplier and from the latter to the interest rate. |
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| ISSN: | 1841-8678 1844-0029 |