Testing for asymmetric nonlinear short and long-run relationships between remittances and exchange rate volatility
by Achouak Barguellil
International Journal of Entrepreneurship and Small Business (IJESB), Vol. 47, No. 2/3, 2022

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.

Online publication date: Thu, 03-Nov-2022

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