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|Title:||The black market exchange rate in Lebanon : what are the factors that impact its fluctuation?||Authors:||Rafihi, Asmaa||Advisors:||Assaf, Ata||Keywords:||Black market, exchange rate return, random walk behavior, GARCH model, day-of-the-week effect||Subjects:||Black market in foreign exchange--Lebanon
Foreign exchange rates--Lebanon
University of Balamand--Dissertations
This paper analyzes the dynamic behavior of the Lebanese black market exchange rate, while uncovering the different events that contribute to its erratic fluctuations. For that purpose, the daily Lebanese exchange rates are collected between September 1st, 2019 and October 4th, 2020. The random walk hypothesis is examined using the Augmented Dickey-Fuller (ADF) test, the variance ratio test, and the Brock-Dechert-Scheinkman (BDS) test. The results of the unit root tests provide evidence that the daily black market returns do not demonstrate a random walk behavior. There is also evidence of three major breaks: September 21st, 2019, May 18th, 2020, and July 14th, 2020 indicating that government-related events have some kind of influence on the returns. The variance ratio test indicates that the black market returns are serially positively correlated, while the BDS test shows that the black market returns are non-linear and dependent, indicating the presence of chaos behavior, as well as the presence of breaks in the black market returns. Furthermore, we adopt the ARMA (5,5) and GARCH (1, 1) models to establish the main source of return variations. The findings reveal that the black market return fluctuates as a result of other alternative determinants to the events tested, such as technical and psychological issues. This is because the effect on the returns happens around the days of the actual events, but fades away afterward. Finally, our findings regarding the day-of-the-week effect reveal significant and positive coefficients for Tuesdays and Fridays, and significant but negative coefficients for Saturdays. Yet, the tests find no evidence of a day-of-the-week effect on the volatility of the returns.
Includes bibliographical references (p. 46-51)
|URI:||https://scholarhub.balamand.edu.lb/handle/uob/5039||DOI:||284577||Ezproxy URL:||Link to full text||Type:||Project|
|Appears in Collections:||UOB Theses and Projects|
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