Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries

This study makes an attempt to examine the long run relationship between the official and black market exchange rates using monthly data for a sample of 13 Middle East and Northern African (MENA) countries from 1970 to 1998. Using the Pool Mean Group framework, the article provides evidence on prop...

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Main Authors: Ferit KULA, Alper ASLAN, Ilhan OZTURK
Format: Article
Language:English
Published: EconJournals 2014-05-01
Series:International Journal of Economics and Financial Issues
Online Access:https://econjournals.com/index.php/ijefi/article/view/833
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author Ferit KULA
Alper ASLAN
Ilhan OZTURK
author_facet Ferit KULA
Alper ASLAN
Ilhan OZTURK
author_sort Ferit KULA
collection DOAJ
description This study makes an attempt to examine the long run relationship between the official and black market exchange rates using monthly data for a sample of 13 Middle East and Northern African (MENA) countries from 1970 to 1998. Using the Pool Mean Group framework, the article provides evidence on proportional long run relationship between black and official market exchange rates in sample countries. The positive common long run official exchange rates (OEX) elasticity is statistically significant and slightly greater than one. The hypothesis of portfolio balance model is confirmed, implying that there exists a proportional long run equilibrium relationship between official exchange rates and black market exchange rates. However, the short run dynamics remain heterogeneous across countries. Keywords: Black market exchange rate; official exchange rates; Panel data; Panel cointegration; MENA countries JEL Classifications: C23; F31
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spelling doaj.art-9d5ea828414849ea87ce2163c3b3f3842023-02-15T16:10:34ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382014-05-0143Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA CountriesFerit KULA0Alper ASLAN1Ilhan OZTURKErciyes UniversityNevsehir Hacı Bektas Veli University, Nevsehir This study makes an attempt to examine the long run relationship between the official and black market exchange rates using monthly data for a sample of 13 Middle East and Northern African (MENA) countries from 1970 to 1998. Using the Pool Mean Group framework, the article provides evidence on proportional long run relationship between black and official market exchange rates in sample countries. The positive common long run official exchange rates (OEX) elasticity is statistically significant and slightly greater than one. The hypothesis of portfolio balance model is confirmed, implying that there exists a proportional long run equilibrium relationship between official exchange rates and black market exchange rates. However, the short run dynamics remain heterogeneous across countries. Keywords: Black market exchange rate; official exchange rates; Panel data; Panel cointegration; MENA countries JEL Classifications: C23; F31 https://econjournals.com/index.php/ijefi/article/view/833
spellingShingle Ferit KULA
Alper ASLAN
Ilhan OZTURK
Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries
International Journal of Economics and Financial Issues
title Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries
title_full Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries
title_fullStr Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries
title_full_unstemmed Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries
title_short Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries
title_sort long run tendencies and short run adjustments between official and black market exchange rates in mena countries
url https://econjournals.com/index.php/ijefi/article/view/833
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AT alperaslan longruntendenciesandshortrunadjustmentsbetweenofficialandblackmarketexchangeratesinmenacountries
AT ilhanozturk longruntendenciesandshortrunadjustmentsbetweenofficialandblackmarketexchangeratesinmenacountries