Jul 2026· MEST Journal· Vol 14, pp. 384-404· 0 citations
Abstract
This study investigates the long-run and short-run impact of the parallel exchange rate on inflation in Algeria over the period 2000–2024. Using annual time-series data and the autoregressive distributed lag bounds testing approach, we estimate dynamic relationships while accommodating mixed integration orders. Results confirm cointegration between the variables, with a long-run elasticity of 0.43, indicating that a 1% depreciation in the parallel market raises inflation by 0.43 percentage points. The error-correction term of -0.32 indicates that approximately 32% of the disequilibrium is corrected annually. Diagnostic and sensitivity analyses, including Chow breakpoint tests and rolling-window estimates, validate the model's stability and robustness. The findings underscore the structural role of informal exchange rate dynamics in driving domestic price pressures, particularly following the 2014 oil price shock. Policymakers, central bankers, and researchers focused on macroeconomic stabilization in resource-dependent economies will find these results instrumental for designing exchange rate reforms, inflation-targeting frameworks, and structural diversification strategies aimed at reducing vulnerability to external shocks and informal market volatility.
This paper examines how economic downturns and currency movements affect the quality of bank loans in Central, Eastern, and Southeastern Europe, using annual data for 14 national banking systems over 2008–2023. We estimate a bias-corrected dynamic fixed-effects model, verify inference with Driscoll–Kraay, cluster-robust, and wild cluster bootstrap procedures, run formal threshold tests, and conduct scenario simulations. Credit risk is highly persistent. The bias-corrected autoregressive coefficient of 0.944 implies a half-life of 12.0 years, although the bootstrap confidence interval of 0.601 to 1.048 does not rule out near-unit-root behavior. Exchange-rate depreciation predicts higher non-performing loan (NPL) ratios and survives both the strictest few-cluster test (p = 0.028) and a correction for euro-adoption breaks, while lower real GDP per capita growth is marginal under the same test (p = 0.060). Threshold tests that re-estimate the threshold in every bootstrap replication do not reject linearity in any of 14 configurations (minimum p-value of 0.071). Institutional quality does not measurably moderate the exchange-rate channel. A severe combined adverse scenario raises the projected NPL ratio from 6.54 to 12.32 percent over five years (90 percent interval: 8.2 to 24.6 percent). Together, the surviving channels and the disciplined null results delimit nonlinear transmission in emerging Europe.
Ivana Miklošević, Andreja Todorović, Andrija Popović· Journal of Risk and Financia...· 0 citations
This paper examines whether depreciations and appreciations of the Iraqi dinar are transmitted to consumer-price inflation symmetrically or asymmetrically over the period 1990–2023, a sample that spans the sanctions-era hyperinflation (1990–2003), the post-reform stabilization (2003–2014), and the recent oil-shock and devaluation phase (2014–2023). Using the nonlinear autoregressive distributed lag (NARDL) framework of Shin, Yu, and Greenwood-Nimmo (2014), the nominal exchange rate is decomposed into cumulative positive (depreciation) and negative (appreciation) partial sums, allowing the long-run and short-run responses of inflation to differ by the direction of the shock. The bounds test confirms a long-run level relationship (F = 6.471, above the 5% upper critical bound), and the error-correction coefficient of −0.630 (p = 0.016) indicates that roughly 63% of any disequilibrium is eliminated within one year. Cumulative depreciations carry a statistically significant long-run coefficient (−0.140, p = 0.008), whereas cumulative appreciations are statistically indistinguishable from zero; a Wald test rejects long-run symmetry decisively (t = −4.064, p = 0.0005), while short-run symmetry cannot be rejected (F = 1.151, p = 0.335). The counter-intuitive sign of the depreciation coefficient is shown to be regime-conditioned: the structural break separating the hyperinflationary 1990s from the post-2003 stabilization dominates the full-sample average, a reading corroborated by CUSUM-of-squares instability and residual heteroskedasticity. The results imply that symmetric pass-through models misrepresent Iraqi inflation dynamics and that the Central Bank of Iraq should calibrate its response to the direction, and not merely the size, of exchange-rate movements.
M. N. AL-Chaabawi, A. M. Tehranchian· Journal of Intelligent Decis...· 0 citations
This study analyses the short-run and long-run effects of monetary policy and other critical macroeconomic determinants on Lao's exchange rate, namely money supply, international reserves, real output growth, and domestic inflation, adding to the understanding of currency stabilization in a developing, dollarized, and import-dependent economy. Through the Autoregressive Distributed Lag (ARDL) approach, this study examines secondary sources of data from the World Development Indicators (WDI) and the Asian Development Bank (ADB) from 2000 to 2023. Unit root and bounds testing indicate the presence of cointegration, thus confirming the ARDL method. The diagnostic testing (CUSUM, CUSUMSQ) ensures stability and robustness of the model. The findings revealed that money supply (M2) depreciates the exchange rate while international reserve stabilizes and appreciates the exchange rate. GDP growth and inflation depreciate the exchange rate in the long run. The ECT reveals rapid short-run re
turns to equilibrium, reflecting the efficient responsiveness of policy. This paper does so in the context of our regional focus on the Lao economy, using a dynamic analysis to identify key but hitherto under-researched determinants of exchange rate dynamics in developing countries. It adds to the monetary policy literature by emphasizing structural challenges such as dollarization and import dependence. Policymakers must regulate money supply growth, build up foreign reserves, and use inflation targeting to stabilize the exchange rate. It is also suggested that sustainable GDP growth strategies and export diversification be pursued to ensure the currency's stability.
This study investigates the effectiveness of monetary policy transmission in Algeria under post-COVID inflation dynamics during the period 2000–2024. The research aims to assess whether conventional monetary instruments, particularly interest-rate adjustments, are capable of stabilizing inflation in a resource-dependent emerging economy characterized by shallow financial markets, exchange-rate vulnerability, and structural rigidities. The study applies Autoregressive Distributed Lag (ARDL) and Nonlinear Autoregressive Distributed Lag (NARDL) models to examine both symmetric and asymmetric monetary transmission effects. Inflation is modeled as a function of interest rates, broad money supply, exchange rates, economic growth, and the COVID-19 shock. The empirical findings indicate that the conventional interest-rate channel remains weak and statistically insignificant in a linear specification, whereas exchange-rate depreciation and monetary expansion exert significant inflationary effects. The nonlinear results reveal asymmetric transmission, showing that monetary tightening has a stronger disinflationary impact than monetary easing. The study concludes that effective inflation stabilization in Algeria requires a broader and more coordinated macroeconomic policy framework.
This study investigates the short and long run impacts of macroeconomic variables inflation, the BI Rate, the USD/IDR exchange rate, and world gold prices on the Indonesian Composite Stock Price Index (IHSG). Utilizing 120 monthly observations from January 2016 to December 2025, this period accounts for severe market turbulences, including the early 2025 trading halts. Given the mixed integration orders I(0) and I(1)), an ARDL bounds testing framework and an Unrestricted Error Correction Model (UECM) with HC3 robust standard errors were applied. The ARDL bounds test reveals no stable long run cointegration (F"-statistic"=2.192, below the lower critical bound), indicating that macroeconomic indicators do not establish a long term equilibrium with the IHSG. Conversely, short run dynamics demonstrate that contemporaneous rupiah depreciation significantly dampens the IHSG. Lagged inflation exhibits a positive effect, while gold prices stimulate the index concurrently but induce a negative effect in the subsequent month, reflecting a delayed safe haven rotation. The BI Rate shows no significant direct impact once exchange rate dynamics are controlled. These findings imply that the IHSG is primarily driven by immediate currency shocks and commodity price pressures rather than long term macroeconomic anchoring.
Siti Syefira Salsabila, Al’an Falina Rizkya, Rizke Maulina et al.· Golden Ratio of Auditing Res...· 0 citations
This paper examines the impact of remittances on economic growth using quarterly time-series data and the Autoregressive Distributed Lag (ARDL) bounds testing approach. Given the mixed order of integration among the variables, the ARDL methodology is employed to investigate both short-run and long-run dynamics between GDP growth and remittance inflows, while controlling for foreign direct investment, gross capital formation, trade openness, inflation, and government consumption. The results of the bounds test confirm the existence of a stable long-run cointegrating relationship among the variables. However, the estimated long-run coefficients indicate that remittances do not exert a statistically significant positive effect on economic growth. Short-run dynamics further reveal that remittances have no immediate growth-enhancing impact, whereas gross capital formation emerges as a key driver of economic growth. The error correction mechanism confirms rapid adjustment toward long-run equilibrium following short-run shocks. These findings suggest that remittance inflows are predominantly used for consumption rather than productive investment. The study highlights the importance of policies aimed at channeling remittances into productive sectors in order to enhance their contribution to sustainable economic growth.
Rilind Ademi, Bardhyl Dauti, Valon Ramadani et al.· Veredas do Direito· 0 citations
