Tunisian Dinar Research Articles

Sentiment investor, exchange rates, geopolitical risk and developing stock market: evidence of co-movements in the time-frequency domain during RussiaUkraine war

PurposeThe aim of this paper is threefold: (1) to develop a new measure of investor sentiment rational (ISR) of developing countries by applying principal component analysis (PCA), (2) to investigate co-movements between the ten developing stock markets, the sentiment investor's, exchange rates and geopolitical risk (GPR) during Russian invasion of Ukraine in 2022, (3) to explore the key factors that might affect exchange market and capital market before and mainly during Russia–Ukraine war period.Design/methodology/approachThe wavelet approach and the multivariate wavelet coherence (MWC) are applied to detect the co-movements on daily data from August 2019 to December 2022. Value-at-risk (VaR) and conditional value-at-risk (CVaR) are used to assess the systemic risks of exchange rate market and stock market return in the developing market.FindingsResults of this study reveal (1) strong interdependence between GPR, investor sentiment rational (ISR), stock market index and exchange rate in short- and long-terms in most countries, as inferred from (WTC) analysis. (2) There is evidence of strong short-term co-movements between ISR and exchange rates, with ISR leading. (3) Multivariate coherency shows strong contributions of ISR and GPR index to stock market index and exchange rate returns. The findings signal the attractiveness of the Vietnamese dong, Malaysian ringgits and Tunisian dinar as a hedge for currency portfolios against GPR. The authors detect a positive connectedness in the short term between all pairs of the variables analyzed in most countries. (4) Both foreign exchange and equity markets are exposed to higher levels of systemic risk in the period of the Russian invasion of Ukraine.Originality/valueThis study provides information that supports investors, regulators and executive managers in developing countries. The impact of sentiment investor with GPR intensified the co-movements of stocks market and exchange market during 2021–2022, which overlaps with period of the Russian invasion of Ukraine.

الأورو وسياسة سعر الصرف في الدول المغاربية var دراسة حالة الجزائر باستعمال متجه الانحدار الذاتي .2015- للفترة 2000

The study aims at identifying the effects of changes in the Euro-Dollar exchange rateon the exchange rate policies in the Maghreb countries, especially as these countries havesigned agreements with the EU in the framework of the Euro-Mediterranean Partnership,which increased the terms of trade between them, the study revealed a positiverelationship between the euro and the Moroccan dirham and the Tunisian dinar, whereasAlgeria faced where the results of the econometric study showed that the effects offluctuations of the euro is limited because it has a lot of foreign exchange reserves

Revisit of Tunisia’s Money Demand Function: What About Oil Price and Exchange Rate Effects?

This paper examines the long run and short run dynamic relationship between real broad money and macroeconomic factors in Tunisia for the period 2010M01 to 2019M07. We employ linear and NARDL bound testing approach for co-integration between the money demand measure and its determinants. Three real broader money demand variables (M2, M3, and M4) are considered to show that exchange rate have asymmetric significant effects once we introduce nonlinearity in the long run as well as in the short run association. Then, by using the (Shin et al., 2014) NARDL approach, we show that currency appreciation and depreciation could affect the demand for money in an asymmetric manner. However, in the long run, it is only the oil price and Tunisian Dinar (TD) depreciation and appreciation which have significant effect out of the five considered macroeconomic factors (real income, interest rates, inflation, oil price, and the exchange rate). Besides, the QSUMSQ stability tests results reveal that only real M3 money demand function which is clearly stable. In implementing monetary policy, the Tunisian central bank (TCB) should target the M3 monetary aggregate and take into account of the exchange rate changes stabilization.

Generalized linear model for subordinated Lévy processes

AbstractGeneralized linear models, introduced by Nelder and Wedderburn, allowed to model the regression of normal and nonnormal data. While doing so, the analysis of these models could not be obtained without the explicit form of the variance function. In this paper, we determine the link and variance functions of the natural exponential family generated by the class of subordinated Lévy processes. In this framework, we introduce a class of variance functions that depends on the Lambert function. In this regard, we call it the Lambert class, which covers the variance functions of the natural exponential families generated by the subordinated gamma processes and the subordinated Lévy processes by the Poisson subordinator. Notice that the gamma process subordinated by the Poisson one is excluded from this class. The concept of reciprocity in natural exponential families was given in order to obtain an exponential family from another one. In this context, we get the reciprocal class of the natural exponential family generated by the class of subordinated Lévy processes. It is well known that the variance function represents an essential element for the determination of the quasi‐likelihood and deviance functions. Then, we use the expression of our variance function in order to maintain them. This leads us to analyze the proposed generalized linear model. We illustrate some of our models with applications to the daily exchange rate returns of the Tunisian Dinar against the U.S. Dollar and the damage incidents of ships.

Virtual water flows and water value in Tunisia: The case of wheat and olive

Virtual water (VW) refers to freshwater that may be imported or exported via goods that are traded on international markets. VW trade could be considered as a potential solution for water scarcity in countries facing risks of water shortage. This paper aims to assess virtual water content and economic indicators of water use in wheat and olive at various bioclimatic stages in Tunisia. Data was collected from a sample of 113 wheat producers and 123 olive producers, through a survey including technical and economic questions. Olive is chosen as it is the raw material for olive oil, the most strategic exported agricultural product, while wheat is the main imported agricultural product. A water footprint network methodology is used to estimate water productivity and VW flows. Results indicate that by importing wheat, Tunisia is saving up to 1.39 Billion cubic metres (km3) of water. Olive oil exports correspond to 2.44 km3 of exported water. From an economic perspective, the highest irrigation water value is estimated around 1 Tunisian Dinar (TND)/m3 for olive trees in the lower semi-arid regions where it is only around 0.29 TND/m3 for wheat. At the national level, for rain-fed agriculture, olives have higher economic water productivity. Irrigation water value is estimated at 0.51 TND/m3 for olives and 0.40 TND/m3 for wheat. According to our findings, wheat production should be encouraged in the humid and sub-humid regions while olive production should be encouraged in arid and semi-arid areas, in order to generate higher water value in these regions and increase exports revenues of foreign currency.

Relationship between the Exchange Rate and Macroeconomic Instability Before and After the Tunisian Revolution

The year 2011 has been marked as a major turning point in the Tunisian modern history from different perspectives. The popular uprising and the fall of the former regime in January led the country into a period of political and economic instability that has notably affected the national stock market. In this respect, the present study aims at investigating the dynamic links between the yield on the stock index and the macroeconomic instability in an environment characterized with political uncertainty.
 In a bid to analyze the political uncertainty’s impacts on the stock market and on the macroeconomic aggregates, mainly on the inflation and the exchange rate before and during the 2011 revolution, we consider it useful to implement an empirical testing on the nature of interaction binding these associated variables. To this end, a specified an error correction model is estimated to examine the period 1984-2016, to help highlight the short and long-term effects associating the considered variables.
 The reached results proved to indicate that the Tunisian Dinar (TND) exchange rate remains noticeable the variable which continued to undergo an adjustment process following the inflation and the political uncertainty related dynamics. The financial indicator “Tun-Index” is discovered to be not only weakly exogenous, but also closely associated with a “rate of endogeneity” that stands as noticeably lower than the exchange rate. In effect, the strong inflation the state had with eased throughout the economy during period 2012-2016 entailed remarkable devaluations of the TND to take place. Actually, such a significant devaluation turns out to have its exploration in the political uncertainty predominates the state affairs.

On the Macroeconomic Causes of Exchange Rate Volatility: The Case of Tunisia

Abstract: The modeling of the dynamics of the exchange rate at a long time remains a financial and economic research center. In our research we tried to study the relationship between the evolution of exchange rates and macroeconomic fundamentals. Our empirical study is based on a series of exchange rates for the Tunisian dinar against three currencies of major trading partners (dollar, euro, yen) and fundamentals (the terms of trade, the inflation rate, the interest rate differential), of monthly data, from jan 2000 to dec-2014, for the case of  Tunisia. We have adopted models of conditional heteroscedasticity (ARCH, GARCH, EGARCH, TGARCH). The results indicate that there is a partial relationship between the evolution of the Tunisian dinar exchange rates and macroeconomic variables.Keywords: exchange rate, fundamental macroeconomic variables, conditional heteroskedasticity models.

Valuing trade-offs between local forest uses and environmental services in Tunisia

ABSTRACTSuccessive afforestation programmes undertaken in Tunisia have doubled the forest surface area in the last 50 years. A choice experiment exercise was used to estimate the social welfare associated with a plantation programme in Tunisia. The application dealt with different environmental services, and access of local users to the forest. The results show that having access to the forests for recreational activities has an average willingness to pay of 6.46 Tunisian dinar (TND) per person and year, for five years. In contrast, limiting access to the afforested areas for grazing and other uses decreases the overall welfare by 5.63 TND per person and year. An individual marginal value of 4.29 × 10−5 TND per ton of CO2 sequestered was obtained. Furthermore, a 1% decrease of dam sedimentation is worth 2.16 TND per person and year. However, results are subject to heterogeneity, particularly regarding rural and urban populations. This paper highlights that preferences for environmental services depend on socio-economic attributes, the welfare of local users could lower due to restricted access to the forest. It was found that population heterogeneity influenced the valuation results and is to be considered in policy designs based on this type of studies.

Restoring the ecosystem creates wealth. The case of the Northern coast of Tunisia’s deep-water rose shrimp trawl fishery

The demersal trawl fishery of the north Tunisian coast primarily targets the deep-water rose shrimp, Parapenaeus longirostris, and secondarily a variety of demersal fish species. These fishes include hake (Merluccius merluccius), common pandora (Pagellus erythrinus), red mullet (Mullus barbatus), surmullet (Mullus surmuletus), Atlantic horse mackerel (Trachurus trachurus), bogue (Boops boops), picarel (Spicara smaris) and spotted flounder (Citharus linguatula). A bioeconomic model was used to test management measures through scenarios that ran over eleven years to estimate the viability of the fishery according to biological and economic results. The most beneficial scenario was the combination of several management measures including a temporal closure of two months, the replacement of the 40mm diamond mesh codend with 40mm square mesh, the removal of both the biological recovery tax and of fuel subsidies, and an 83% reduction in fishing capacity. This results in an annual private profit higher by 9.3M TND (Tunisian Dinar) (6.9M USD) that of 2008, and an economic rent that was higher by 13.3M TND (9.9M USD) than by the end of the projected period. Shrimp and fish biomasses have doubled compared with 2008, and trawling damages would be reduced to the equivalent of a five- fold reduction in fishing effort. This study shows that the objectives of improving demersal ecosystems and improving individual and collective wealth can be achieved through the synergistic effects of various regulatory measures.

Direct cost of the common lombosciatique in a physical medicine and rehabilitation department

The objective of this study is to evaluate the direct cost of the common lombosciatique (LS) care in a Physical Medicine and Rehabilitation department. It is a retrospective study (2012–2013) on 151 files of patients managed for common LS. We calculated the costs related to the rehabilitation sessions, consultations, additional tests and treatment (general and local) administered during the rehabilitative care. The costs are expressed in Tunisian Dinar (TND) and Euro (€). The mean age of patients was 46.9 years. The LS was L5 in 55% of cases, S1 in 32.5% of cases and poorly systematized in 12.5% of cases. The LS was bilateral in 26.5% of cases. The average number of therapy sessions was 13.8 with an average cost per patient (ACPP) of 248.19 TND (€ 106.72). The average number of visits was 3.15 with a ACPP of 31.52 TND (€ 13.55). Biological complementary examinations ACPP was 1.85 TND (€ 0.79), that of radiological examinations was 47.98 TND (€ 20.63). ACPP of the apparatus was 5.56 TND (€ 2.39). Systemic treatment ACPP was 15.71 TND (€ 6.75) and that of local treatment was 3.12 TND (€ 1.34). The total direct cost was 353.93 TND (€ 152.19) per patient. The functional impact of the LS is important and its direct cost of rehabilitation care is not insignificant. The indirect cost in touch with the work stoppage would be even more interesting to calculate to be able to estimate the real economic consequences of this pathology.

Le bois industriel en Tunisie : aggravation de la dépendance extérieure malgré les reboisements

La Tunisie est toujours dépendante des importations pour satisfaire ses besoins en bois et produits dérivés à hauteur de 90 % malgré l’extension du couvert boisé de 500 000 ha environ au coursdescinq der- nières décennies. L’objectif principal de ce travail est d’apprécier la contribution des forêts à la satisfaction des besoins en bois industriel et son évolution au cours des cinq dernières décennies, et de déterminer la capacité desindustriesdu boisà valoriser le bois local. La consommation de bois industriel a augmenté de 0,19 M m3 en 1961 à 1,30 M m3 en 2012, alors que la production de bois industriel a augmenté de 0,09 M m3 seulement durant cette période. Dans un contexte de libéralisation des marchés, la valorisation du bois indus- triel et la maîtrise des importations ne peu- vent être réalisées que s’il existe une réelle coordination entre les acteurs de la filière bois (administration chargée de la gestion forestière et de la vente du bois, exploitants, industriels) permettant d’aboutir à la com- pétitivité des industries du bois. Une mise sur le marché de 50 000 m3 de bois sup- plémentaireset leur valorisation industrielle entraîneraient une recette additionnelle de 1,5 millions de dinars tunisiens (M DT) (+22 %) pour le budget de l’État, la réduction de la valeur des importations de 12 M DT (3 % des importations de bois et ouvrages en bois), et l’accroissement de la valeur ajoutée du secteur bois de 4 M DT, en plus de la création d’emploi au niveau de l’ex- ploitation et la transformation.

Improvement of Durum Wheat (<i>Triticum durum</i>) Surface Irrigation in Swelling Soils

This study is targeted to improve surface irrigation performance of durum wheat in swelling soils. For this purpose, furrow and border irrigation trials were carried out and evaluated under different soil water depletion rates, furrow spacing and unitary inlet discharges. Irrigation was triggered whenever the soil water depletion rate reached a predetermined threshold. A comprehensive irrigation evaluation produced hydraulic, agronomic and economic indicators, such as application efficiency, distribution uniformity, crop yield, gross margin and water productivity. Experimental results showed that supplied water depths exceeded soil water deficits, inducing relevant vertical and lateral water losses. Al- though border and furrow irrigation crop yields were virtually tantamount (about 5.5 Mg/ha), furrow irrigation was the system of choice. An irrigation strategy based on a furrow spacing of 150 cm, an inlet discharge of 2 l/s/furrow and a soil water depletion rate of 30% required a gross water depth of 4300 m3/ha/yr and generated an optimum crop yield of 58 qx/ha. In the analyzed range of soil water depletion, the gross margin and water value amounted to 1064 - 1390 Tunisian Dinar per hectare (TD/ha) and 0.39 - 0.44 TD/m3, respectively, for a furrow spacing of 150 cm.

An analysis of exchange rate risk exposure related to the public debt portfolio of Tunisia: Beyond VaR approach

The aim of this study is to assess the exchange rate risk associated with the Tunisian public debt portfolio through Value-at-Risk (VaR) methodology. We use daily spot exchange rates of the Tunisian dinar against the three main debt currencies, the dollar, the euro and the yen. Our period of interest is from 02/01/2004 to 31/12/2008. Thetas and Marginal VaR analysis reveal that Japanese yen is the most risky currency constituting the Tunisian public debt portfolio. American dollar appears as a source of risk for the Tunisian external debt but remains less risky than the yen, while, the euro constitutes a hedge currency for exchange risk management associated with the Tunisian public debt portfolio.

Real exchange of rate of balance and misalignments: Lesson from the model VAR-ECM in the case of Tunisia

Tunisia has experienced a performance when pursuing a constant real exchange rate rule. The limitations of this rule are beginning to emerge in the context of a more open economy, which desire to relax capital controls. This paper estimates the equilibrium real exchange rate of the dinar vis ? vis the euro and the $US from 1983 to 2000, using quarterly data, based on the following fundamental variables: terms of trade, net capital inflows and the differential of productivity. Results show that Tunisian dinar was overvalued before the 1986 devaluation, becomes close to its equilibrium value over the 90s'. In the beginning of this century (2000), authorities permit a larger fluctuation of the real effective exchange rate. .

Two of a Kind: Lessons from Tunisian Independent Power Projects

This paper narrates the experience of Tunisia's two independent power projects (IPPs), which were developed as part of the country's electricity supply industry reforms. Although both plants use gas as their primary energy, the two projects vary in size, fuel supply arrangements, power purchase agreements and the legal frameworks under which they were developed. With Rades II, the country's first IPP, loans have been indexed to multiple currencies and, to date, charges to the utility remain affordable. This is partly due to the fact that the Tunisian dinar (TND) has been relatively stable since the inception of the contracts—unlike in other emerging economies where currency devaluations have resulted in significant increases in charges. With El Biban, the country's second IPP, fuel supply problems have interrupted production for extended periods, impacting on overall plant performance and revenue. Although the loss in revenue is threatening the financial viability of the plant, it does not have a significant impact on the off-taker and national utility for the following reason. El Biban represents less than 1 per cent of the country's installed capacity with no guaranteed availability in terms of its contract with the off-taker. Still the plant is crucial in understanding Tunisia's overall experience as well as particularly relevant to other countries throughout Africa, such as Nigeria and Tanzania, which have developed power plants as part of a larger gas infrastructure project.

Tunisia: Sources of Real Exchange Rate Fluctuations

Using structural VARs identified with long-run restrictions, this paper evaluates the importance of nominal shocks and real disturbances on the Tunisian Dinar during the nineties. The estimated macroeconomic behaviour in response to the shocks identified with a Clarida and Galiâ€type structural VAR for Tunisia is generally in line with theoretical priors stemming from the Mundell-Fleming model. The structural decomposition shows that relative real demand and supply shocks account for most of the variations in real exchange rate changes during the estimation period and indicates that real disturbances explain about 80% of the variance of the forecast error of the real exchange rate.

Libéralisation du compte capital et choix d'un régime de change, quelle portée pour la flexibilité en Tunisie?

L’adoption par la Tunisie des réformes structurelles de son économie dans un contexte d’ouverture graduelle depuis 1986, lui a permis d’instaurer en janvier 1993 la convertibilité de son compte courant. Le desserrement de la contrainte de change et l’achèvement de la convertibilité totale du Dinar restent des objectifs prioritaires comme finalités pour une plus grande intégration de l’économie tunisienne dans l’économie mondiale. La perspective de la convertibilité intégrale du Dinar pose la problématique du choix prospectif de régime de change. On analyse dans cette étude, dans le cadre de la théorie des jeux, le choix de régime de change optimal par référence à la notion de bien-être. Dans un modèle de biens échangeables/ biens non échangeables, le choix d’un régime de change est défini en termes d’interactions stratégiques entre les autorités monétaires et les entreprises domestiques. Les autorités sont supposées choisir un régime optimal suivant un critère de bien-être en minimisant une fonction de perte définie en termes de compétitivité externe et d’inflation. Les résultats des simulations du modèle montrent que la libéralisation du compte capital serait compatible avec un régime de change flexible.

Coût des soins de santé de base dans une circonscription sanitaire en Tunisie

Information on the cost of health services is essential for good planning and management and the efficient use of resources. We calculated the total costs incurred in running primary health services for one year [1995] in the health district of Enfidha [Tunisia]. The yearly operating expenditure for the health district was 1 219 099 Tunisian dinars and the cost per inhabitant was 17.494 dinars [US dollar 1 = Tunisian dinar 0.950 in 1995] ; 65.37% of total costs went on staff and 17.03% on drugs. Looked at another way, 84, 96% went on curative services and 14.04% on preventive services. The cost of a consultation for curative care was 6.847dinars, for perinatal care was 2.764 dinars, for immunization was 3.680 and for school visit was 6.680 dinars. The study helps to identify ways in which cost analysis can be used to explore efficiency and resource adequacy in the district