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The impact of inflation rate and interest rates on the exchange rate in
Algeria during the period (1970-2014)
ABSTRACT:
This study aims to determine the impact of both inflation and exchange rate of
the interest rate of the dinar Algeria against the US dollar during the period (1970-
2014), by through a review the theoretical framework of three variables, with the
presentation of the evolution of these variables in Algeria economy during this period.
in the applied study we depended on modern methods in the field of time
series and to analyze appropriate statistical tests.
We concluded that the causal relationship between the three variables is one
direction from the exchange rate to the inflation rate, and one direction also from the
interest rate to the exchange rate, and this is due the nature of the Algerian dinar,
which is subject to the system of fixed exchange rate.
KEY WORDS: Time series analysis, statistical tests, Granger causality, the
exchange rate, inflation rates, interest rates
Classification JEL: B23, C22, C54, C87

2016 : 
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 . 270

" -[24]
2011 "2010
" -[25]
.2014 9 "2013
[26]-Bali Hamid(1993), Inflation et Mal- Dveloppement en Algrie, Alger:
Office des Publications Universitaire.
[27]-Benissad Mohamed El-hocine(1981), conomie de dveloppement de
l'Algrie(1962-1978), Alger: Office des Publications Universitaire.
[28]-GRANGER, C.W.J(1969), Investigating Causal Relations by
Econometric Models and Cross Spectral Methods,
Econometrica, Vol. 37, No. 3,pp. 424-438
[29]-Gourieroux Christian, Alain Monfort(1990), Sries temporelles et
modles dynamiques, Paris: Ed Economica.
[30]-LARDIC.S et MIGNON.V(2002), Economtrie des sries temporelles
macroconomiques et financire, Paris: Ed Economica.
[31]-Office National de Statistiques(2004), Indices des prix la
Consommation: Collection Statistique N113, Alger: Edition O.N.S.
[32]-United Nations(2009), Practical Guide To Producing Consumer Price
Indices, New York, Geneva, 2009, (Page consult Le 4/1/2014), sur le site;
<Adresse URL :
http://www.unece.org/fileadmin/DAM/stats/publications/Practical_Guide_to_
Producing_CPI.pdf>

2016 : 
(2014-1970)   ! 271

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TCHA, TINF, TINTER 01
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NONE INTERCEPT
INTERCEPT
-2.619851 -4.198503 -3.592462 %1

-1.948686 -3.523623 -2.931404 %5 9T
Critical Values ADF
-1.612036 -3.192902 -2.603944 %10
1.230994 -2.108414 -0.531692 (t)
Log(TCHA)
-3.714208 -4.082409 -4.137230 (t) #
-0.786905 -3.061815 -2.799590 (t)
Log(TINF)
-9.593053 -9.452872 -9.476521 (t) #
-0.255266 -2.849939 -3.009475 (t)
Log(TINTER)
-4.874191 -4.801014 -4.816211 (t) #
Eviews version 7.1 9 :
! :(2)
VAR Lag Order Selection Criteria
Endogenous variables: LOG_TINF_ LOG_TCHA_ LOG_TINTER_
Exogenous variables: C
Date: 01/21/16 Time: 21:06
Sample: 1970 2014
Included observations: 42
Lag LogL LR FPE AIC SC HQ
0 -36.044 NA 0.001288 1.859230 1.983349 1.904725
1 128.5547 297.8449* 7.81e-07* -5.550223* -5.053746* -5.368244*
2 134.7193 10.27437 9.01e-07 -5.4152 -4.5464 -5.0967
3 138.3625 5.551562 1.18e-06 -5.1601 -3.9189 -4.7052
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion
Eviews version 7.1 9 :
 . 272

:(3)

Pairwise Granger Causality Tests

Date: 01/21/16 Time: 18:16
Sample: 1970 2014
Lags: 2
Null Hypothesis: Obs F-Statistic Prob.
LOG_TINF_ does not Granger Cause LOG_TINTER_ 43 5.91341 0.006
LOG_TINTER_ does not Granger Cause LOG_TINF_ 2.33816 0.11
LOG_TCHA_ does not Granger Cause LOG_TINTER_ 43 1.36537 0.268
LOG_TINTER_ does not Granger Cause LOG_TCHA_ 5.40872 0.009
LOG_TCHA_ does not Granger Cause LOG_TINF_ 43 4.44884 0.018
LOG_TINF_ does not Granger Cause LOG_TCHA_ 1.51800 0.232

E-VIEWS 7.1 9 :
VAR :(4)

Vector Auto regression Estimates

Date: 01/21/16 Time: 21:37
Sample (adjusted): 1971 2014
Included observations: 44 after adjustments
Standard errors in ( ) & t-statistics in [ ]
LOG_TINF_ LOG_TCHA_ LOG_TINTER_
LOG_TINF_(-1) 0.529393 0.035325 0.099419
(0.13959) (0.02703) (0.02900)
[ 3.79246] [ 1.30713] [ 3.42790]
LOG_TCHA_(-1) -0.228094 0.970441 0.010648
(0.11490) (0.02225) (0.02387)
[-1.98508] [ 43.6239] [ 0.44601]
LOG_TINTER_(-1) 0.254686 0.147075 0.916219
(0.25773) (0.04990) (0.05355)
[ 0.98818] [ 2.94757] [ 17.1101]
C 0.491168 -0.063762 -0.037982
(0.17324) (0.03354) (0.03599)
[ 2.83515] [-1.90108] [-1.05521]
R-squared 0.503970 0.991207 0.942383
Adj. R-squared 0.466768 0.990548 0.938061

2016 : 
(2014-1970)   ! 273

Sum sq. resids 3.284637 0.123113 0.141791

S.E. equation 0.286559 0.055478 0.059538
F-statistic 13.54676 1503.069 218.0789
Log likelihood -5.344756 66.90122 63.79367
Akaike AIC 0.424762 -2.859146 -2.717894
Schwarz SC 0.586961 -2.696947 -2.555695
Mean dependent 0.814544 1.270668 0.673806
S.D. dependent 0.392424 0.570631 0.239229
Determinant resid covariance
(dof adj.) 6.06E-07
Determinant resid covariance 4.55E-07
Log likelihood 133.9504
Akaike information criterion -5.543198
Schwarz criterion -5.056601

E-VIEWS 7.1 9 :

(2014-1970) !:(5)

() TINTER () TCHA () TINF

3.75 4.94 6.60 1970
3.75 4.91 2.63 1971
2.75 4.48 3.66 1972
2.75 3.96 6.17 1973
2.75 4.18 4.70 1974
2.75 3.95 8.23 1975
2.75 4.16 9.43 1976
2.75 4.15 11.99 1977
2.75 3.97 17.52 1978
2.75 3.85 11.35 1979
2.75 3.84 9.52 1980
2.75 4.32 14.65 1981
2.75 4.59 6.54 1982
2.75 4.79 5.97 1983
2.75 4.98 8.12 1984
2.75 5.03 10.48 1985
2.75 4.70 12.37 1986
5.00 4.85 7.44 1987
5.00 5.91 5.91 1988
 . 274

5.00 7.61 9.30 1989

7.00 8.96 16.65 1990
10.50 18.47 25.89 1991
11.50 21.84 31.67 1992
11.50 23.35 20.54 1993
11.50 35.06 29.05 1994
15.00 52.20 29.78 1995
14.00 54.75 18.68 1996
12.50 57.71 5.73 1997
11.00 58.74 4.95 1998
9.50 66.57 2.65 1999
8.50 75.26 0.34 2000
6.00 77.22 4.23 2001
6.00 79.68 1.42 2002
5.50 77.00 4.27 2003
4.50 72.06 3.96 2004
4.00 73.28 1.38 2005
4.00 72.65 2.31 2006
4.00 69.29 3.67 2007
4.00 64.58 4.86 2008
4.00 72.65 5.73 2009
4.00 74.39 3.91 2010
4.00 72.94 4.52 2011
4.00 77.54 8.89 2012
4.00 79.37 3.25 2013
4.00 80.58 2.92 2014

- : : 29 2014)
2015/6/5( 9:<Adresse URL :http://www.bank-of-algeria.dz/pdf/Bulletin_29a.pdf > :
- ) 2015/5/2(
9:<Adresse URL:http://api.worldbank.org/v2/en/country/dza?downloadformat=excel> :

 : 2016