Title: Testing for asymmetric nonlinear short and long-run relationships between remittances and exchange rate volatility

Authors: Achouak Barguellil

Addresses: Department of Economics, University of Tunis El Manar, Tunis, Tunisia

Abstract: The purpose of this paper is to examine the determinants of emigrant remittances by highlighting the impact of asymmetric exchange rate volatility. We have estimated an asymmetric ARDL-PMG panel model on a sample of MENA countries observed over the period 1980-2017. The results of the ARDL-PMG nonlinear model estimates indicate that, in the long-run, economic growth and fixed capital accumulation both have significant upward impacts on emigrant remittances. The incorporation of the exchange rate asymmetry assumption suggests a positive and significant effect only for downward movements in the exchange rate. The impact of exchange rate fluctuations on emigrant remittances is significant only for negative changes.

Keywords: remittances; exchange rate volatility; asymmetric nonlinear ARD; panel model.

DOI: 10.1504/IJESB.2022.126705

International Journal of Entrepreneurship and Small Business, 2022 Vol.47 No.2/3, pp.142 - 155

Received: 10 Dec 2019
Accepted: 02 Mar 2020
Published online: 03 Nov 2022 *

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