Exchange rate regimes in Middle East and North Africa (MENA): A Markov switching model approach.

摘要

This dissertation consists of introductory chapter and an additional three papers. There are three common aspects in these three papers. First, the main topic of each paper is the nominal exchange rate regime. Second, the entire three papers use a Markov Switching Regime model as the empirical approach of the analysis. Third, the region covered by the study is Middle East and North Africa (MENA).; The first paper is entitled "Identifying De Facto Exchange Rate Regimes: An Alternative Markov Switching Approach." In this paper, a new alternative methodology is applied to classify de facto exchange regimes. The proposed approach is based on a Markov Switching Model (MSM). The paper introduces current methodologies available and their cons and pros. The proposed MSM provides several advantages over existing methodologies and gives additional insightful information for policy makers.; The second paper is entitled "Exchange Rate Misalignment Across De Facto Exchange Rate Regimes: A Markov Switching Model Analysis." In this paper, I estimate equilibrium exchange rates for 8 selected countries of MENA region using a panel cointegration technique. The difference between equilibrium and actual exchange rates is identified as exchange rate misalignment. Misalignment, then, is analyzed with a de facto exchange rate regime index using a Markov Switching Model. The main objective of this paper is to determine empirically, which regime is associated with lower misalignment. This result is of interest to policy maker so as to avoid currency crises.; The third paper is entitled "Excess Returns Across Exchange Rate Regimes: A Markov Switching Model Analysis." In this paper, a MSM is used to analyze the excess returns over what uncovered interest rate parity predicts for four MENA countries: Egypt, Jordan, Morocco and Tunisia. The main purpose of this paper is to examine the effects of liberalization - signified by applying more flexible exchange rate regimes - on the degree of integration into international financial markets measured as the magnitude of the excess return over what uncovered interest rate parity predicts.