Proceedings of Annual Paris Economics, Finance and Business Conference

Proceedings of Annual Paris Economics, Finance and Business Conference
7 - 8 April 2016, Espace Vocation Haussmann, Paris, France
ISBN: 978-1-925488-04-3
Asymmetric Exchange Rate Pass-through in Tunisia:
Evidence from an ARDL Model
Fatma Marrakchi Charfi*
Since 1986, Tunisian authorities encourage the depreciation of
the Tunisian dinar, (especially since 2011), arguing that this
policy has the advantage to enhance competitiveness of Tunisian
products and boosts exports, but in the same time depreciation
can contribute to fuel inflation. So it is important to know how
important is the degree of exchange rate pass-through (ERPT)
and how far the asymmetry of the ERPT is large. This paper
investigates possible asymmetries in the reaction of export and
import prices to variations in the nominal exchange rate for
Tunisia between 2000 and 2014 on a monthly basis. This
exercise is conducted using an asymmetric cointegrating
autoregressive distributed lag (ARDL) model, with positive and
negative partial sum decompositions of the nominal exchange
rates. Our results show evidence of asymmetric ERPT to
appreciations and depreciations, meaning that export and import
prices respond differently depending on the direction of the
exchange rate variation. In particular, we find that depreciations
are more passed through to import than export prices than
appreciations. This result is important for conducting the
exchange rate policy.
*Laboratoire d’Intégration Economiques Internationale, Faculté des Sciences Economiques et de
Gestion de Tunis, Université de Tunis El Manar, Tunisia,