أسعار الصرف وأسعار النفط

Abstract

The purpose of this study is to examine the Dutch Disease hypothesis by analyzing the impact of oil prices on the Algerian dinar exchange rates over the period )1990-2022(,To achieve the results of this study, several econometric models and diagnostic tests were used, such as Johansen cointegration test, Vector Error Correction Model (VECM), Wald test for short-term causality and Fully Modified OLS (FMOLS) approach. The empirical findings show that there is a negative and significant long-term relationship between real effective exchange rates and the black market premium relative to oil prices, which is in line with the Dutch disease theory hypothesis. Surprisingly, the study finds that high government expenditure on the tradable sector mitigates the appreciation of the real value of the Algerian dinar, having an inverse impact compared to oil prices. Finally, the study provides strong evidence that the agricultural sector is suffering from Dutch disease, whereas it fails to find a link between the already observed decline in the manufacturing sector and the Dutch disease theory hypothesis.