2021-1990العلاقة السببية بين سعر الصرف ومعدل التضخم وسعر الفائدة في الجزائر خلال الفترة

Abstract

This study aims to analyze the causal relationship between the exchange rate, inflation rate and interest rate, considering that both the exchange rate and interest rate are among the most important monetary policy channels, during the period extending from 1990-2021; using the VAR model, the Granger and Sims causality test in the short term, and the Toda Yama- Moto test in the long term. Variance and response functions were also analyzed based on the Svar model and using the Eviews statistical program. 12 The results of the study concluded that there is a unidirectional causal relationship between the exchange rate and the inflation rate in the short term, and the existence of a bidirectional causal relationship between the inflation rate in the long term. Keywords: exchange rate, inflation, interest rate, causality, svar, var.