NSU Research Contributions
Title : Long-run nature of the relationship between the black market and the official exchange rates
Authors : Mohsen Bahmani-Oskooee, Gour Goswami
| Journal Title: Economic Systems | Volume Number: 28 | Publication Year : 2004 | Issue Number: 3 |
| Index: scopus | Ranking: Q2 | ISSN: 0939-3625 | Publisher Name: Elsevier |
| Pages : 319-327 | |||
| ISBN : 1878-5433 | |||
| Funding Source : None |
|
Direct Sustainable Development Goals : SDG8 Decent Work & Economic Growth SDG9 Industry, Innovation & Infrastructure |
Indirect Sustainable Development Goals : SDG8 Decent Work & Economic Growth SDG9 Industry, Innovation & Infrastructure |
Sustainable Development Sub Goals : Sustain per capita economic growth Strengthen financial institutions’ access and capacity Increase trade support for least developed countries |
| Impact statement: Previous research investigating the relationship between the black market and the official exchange rate employed cointegration analysis to establish the long-run relationship and Granger causality to detect short-run causality between the two rates (for a small number of countries). In this paper, we employ annual data over the 1955–1995 period from 31 developing countries to show that, indeed, in most cases, the two rates are cointegrated. Application of Johansen's weak exogeneity test reveals that, in the majority of countries, the black-market exchange rate is weakly exogenous, supporting the argument that, in the long run, depreciation of the domestic currency in the black market induces government officials to devalue the domestic currency and unify the two rates. | Collaboration: Partner University | Keywords: PPP. Black Market Exchange Rate, Official Exchange Rate |
