Dynamique a long terme du taux de change réel, Libéralisation Commerciale et Intégration Financiere: Cas des Pays du Sud et de l’Est Méditerranéen
The purpose of this paper is to estimate the effects of the trade liberalization and of the international financial integration on the long-term behaviour of Real Exchange Rate (RER) for the South East Mediterranean countries. So the following question: how does the new trade and financial context affect the Equilibrium RER? We refer to the econometric technique of time series analysis, (the unit root tests of Dickey- Fuller (1979) and we apply the cointegration test of Engle and Granger (1987) of single equation for six South East Mediterranean countries (Algeria, Egypt, Lebanon, Morocco, Tunisia and Turkey) over the period of 1979-2004. Our estimates suggest that, for the six countries, long-term RER behaviour depends essentially on economic specificity of each country and in particular on their degree of financial integration and trade opening. Our results also show that the evolution of the RER misalignment during our sample period, seem to be for some countries persistant and recurrent, but with decrease.
Key words: Equilibrium real exchange rate, Misalignment, Trade liberalization, International financial integration, Cointegration, PSEM.
JEL: F36, F37, F41, G15.