Exchange rate pass-through and monetary policy in transition economy : evidence from Tunisia with a disaggregated VAR analysis

Relying on monthly and quarterly data, from 2000 to 2015, this paper keeps up with SVAR modeling and price chain study, through a disaggregate approach that aims at analyzing the exchange rate pass-through (ERPT) on the various components of consumer price index (CPI). To our knowledge, this study is the first attempt at ERPT estimation through a disaggregate approach for the CPI. The results show that the total ERPT is about 20%. Specifically, 10% of PT on the administered prices after 2011 revolution date (6% of PT for food administered prices and 7% of PT for energy prices), which contradicts the prevailing theory that admits the inexistence of PT for administered prices. Our findings confirm the importance of a disaggregate analysis for studying ERPT to contain inflation.peer-reviewe

THE WEAK FORM OF INFORMATIONAL EFFICIENCY: CASE OF TUNISIAN BANKING SECTOR

This paper investigates the weak form of market efficiency hypothesis over eleven Tunisian banks listed on the Tunisian Stock Exchange during the period July 2012 to June 2013. GARCH (1, 1) and its extension EGARCH (1,1) are developed in order to describe the sign and size of financial volatility asymmetry. The results indicate that the Tunisian stock market, in particular the banking sector would not show characteristics of market efficiency. Some of the bank securities asymmetrically reacted to good and bad news. The presence of the leverage effect would imply that negative innovation (news) has a greater impact on volatility than a positive innovation (news). This implies that this sector is not efficient under the weak form of the hypothesis. The implication of rejecting the weak form of efficiency for investors is that they can better predict stock price movements and abnormal earnings

Exchange rate Pass-through and Monetary Policy in Transition Economy: Evidence from Tunisia with disaggregated VAR Analysis

The issue of exchange rate pass-through has raised interest in international economy, a necessary step for adopting an adequate monetary policy, which accentuated in 2000 given its impacts on the monetary policy. Yet, on the academic level, research attempts at studying small open economy in a transitory period, e.g. Tunisia, seem to bring about only a few responses. Relying on monthly and quarterly data, from 2000 to 2015, this paper keeps up with SVAR modeling and price chain study, but through two different approaches: a direct aggregate approach that aims at checking the direct impact of exchange rate transmissions on the global prices, and a disaggregate approach that aims at analyzing the exchange rate degree of transmission on the various components of consumer price. To our knowledge, this study is the first attempt at exchange rate pass-through estimation through a disaggregate approach for the consumer price indexe. The main preliminary findings show that the total exchange rate pass-through is about 20% after 2011. Specifically, 10% of pass-through on the administered prices. More accurately, there is a 6% of pass-through degree for food administered prices as well as 7% of pass-through degree for energy prices (after 2011 revolution date), which contradicts the prevailing theory that admits the inexistence of pass-through for administered prices. On the whole, our findings confirm the importance of a disaggregate analysis for studying exchange rate pass-through, and can help policy makers in Tunisia to adopt the appropriate strategies for implementing monetary policy and containing inflation

Exchange rate Pass-through and Monetary Policy in Transition Economy: Evidence from Tunisia with disaggregated VAR Analysis

The issue of exchange rate pass-through has raised interest in international economy, a necessary step for adopting an adequate monetary policy, which accentuated in 2000 given its impacts on the monetary policy. Yet, on the academic level, research attempts at studying small open economy in a transitory period, e.g. Tunisia, seem to bring about only a few responses. Relying on monthly and quarterly data, from 2000 to 2015, this paper keeps up with SVAR modeling and price chain study, but through two different approaches: a direct aggregate approach that aims at checking the direct impact of exchange rate transmissions on the global prices, and a disaggregate approach that aims at analyzing the exchange rate degree of transmission on the various components of consumer price. To our knowledge, this study is the first attempt at exchange rate pass-through estimation through a disaggregate approach for the consumer price indexe. The main preliminary findings show that the total exchange rate pass-through is about 20% after 2011. Specifically, 10% of pass-through on the administered prices. More accurately, there is a 6% of pass-through degree for food administered prices as well as 7% of pass-through degree for energy prices (after 2011 revolution date), which contradicts the prevailing theory that admits the inexistence of pass-through for administered prices. On the whole, our findings confirm the importance of a disaggregate analysis for studying exchange rate pass-through, and can help policy makers in Tunisia to adopt the appropriate strategies for implementing monetary policy and containing inflation

Time Varying VAR Analysis for Disaggregated Exchange Rate Pass-through in Tunisia

Our paper follows the "Time Varying Parameter VAR with Stochastic Volatility" (TVP VAR) approach developed by Primiceri (2005): Bayesian estimation with time varying coefficients and stochastic volatility. Our paper contributes to the literature by examining if the impact of monetary and exchange rate shocks have varied over time in Tunisia through a disaggregated analysis of exchange rate pass-through by introducing time variability in two ways; firstly, by assuming That all the coefficients of the VAR model are variant in time, and secondly, in the temporal variance-covariance matrix, that is the error term’s volatility of the VAR model. The multivariate stochastic volatility aims at capturing the heteroskedasticity of shocks and non linearities in the simultaneous relationships between the variables of the model. In fact, it allows us to capture abrupt and progressive changes in state variables. Given the structural and institutional changes in the Tunisian economy over the last few decades, it is important to emphasize the possibility of such a temporal variation in the empirical methodology. To the best of our knowledge, this work is among the first to apply the TVP-VAR approach with stochastic volatility to the shocks of monetary and exchange rate policies in Tunisia. Overall, the findings confirm that the modeling approch; i.e the TVP-VAR, is the best tool to analyze the impact of these shocks in Tunisia. The results of the study can help the short- and long-term decision-makers in Tunisia to adopt appropriate strategies for conducting monetary policy as well as containing inflation

Time Varying VAR Analysis for Disaggregated Exchange Rate Pass-through in Tunisia

Our paper follows the "Time Varying Parameter VAR with Stochastic Volatility" (TVP VAR) approach developed by Primiceri (2005): Bayesian estimation with time varying coefficients and stochastic volatility. Our paper contributes to the literature by examining if the impact of monetary and exchange rate shocks have varied over time in Tunisia through a disaggregated analysis of exchange rate pass-through by introducing time variability in two ways; firstly, by assuming That all the coefficients of the VAR model are variant in time, and secondly, in the temporal variance-covariance matrix, that is the error term’s volatility of the VAR model. The multivariate stochastic volatility aims at capturing the heteroskedasticity of shocks and non linearities in the simultaneous relationships between the variables of the model. In fact, it allows us to capture abrupt and progressive changes in state variables. Given the structural and institutional changes in the Tunisian economy over the last few decades, it is important to emphasize the possibility of such a temporal variation in the empirical methodology. To the best of our knowledge, this work is among the first to apply the TVP-VAR approach with stochastic volatility to the shocks of monetary and exchange rate policies in Tunisia. Overall, the findings confirm that the modeling approch; i.e the TVP-VAR, is the best tool to analyze the impact of these shocks in Tunisia. The results of the study can help the short- and long-term decision-makers in Tunisia to adopt appropriate strategies for conducting monetary policy as well as containing inflation

Efficient POPS-OFDM waveform design for future wireless communication systems

WOS: 000459697700017Future wireless networks are required to offer new applications and services, which will experience high dispersions in time and frequency, incurred mainly by coarse synchronization. Coarse synchronization is induced by signaling overhead reduction and dictated by the tremendous optimization of the radio interface efficiency. It is expected to dramatically damage waveform orthogonality in conventional orthogonal frequency-division multiplexing (OFDM) systems and to result in oppressive intercarrier interference (ICI). To alleviate the degradation in performance caused by ICI, the concept of nonorthogonal multiplexing has been promoted, as a serious alternative to strict orthogonal multiplexing, for guaranteeing the OFDM benefits without requiring high-level synchronization. Within this nonorthogonal multiplexing framework, ping-pong optimized pulse shaping-OFDM (POPS-OFDM) has been introduced as a powerful tool to efficiently design waveforms, which withstand future multicarrier systems' dispersion impairments. In this paper, we investigate the discrete time version of the POPS-OFDM approach and study its sensitivity and robustness against estimation and synchronization errors. Based on numerical results, we show that POPS-OFDM provides an important gain in the signal-to-interference ratio, typically higher than 5 dB, with respect to conventional OFDM. We also demonstrate that POPS-OFDM brings an increased robustness against synchronization errors and ensures a dramatic reduction in out-of-band emissions, enabling flexible and improved spectrum utilization.Scientific and Technological Research Council of Turkey through Bideb 2232 Program [115C136]The work of T. Baykas was supported by the Scientific and Technological Research Council of Turkey through Bideb 2232 Program under Grant 115C136