Asymmetric Impacts of Oil Prices on the Algerian Dinar Exchange Rate: Analysis of Multiple Structural Breaks and NARDL Model

Abstract: Comprehending the influence of oil prices on exchange rates is vital because of oil's significant role in the global economy. Changes in oil prices can cause fluctuations in exchange rates, which in turn can affect trade balances, investment flows, and overall economic stability. This study seeks to determine and quantify the asymmetric impacts of fluctuations in the Saharan Blend oil price on the Algerian dinar exchange rate by utilizing the NARDL model, considering outliers and structural breaks. Analysis of monthly data from April 2019 to August 2023 revealed that the effects were negative. Specifically, if positive and negative oil price shocks increase by one unit, the long-term Algerian dinar exchange rate would decline by (-0.033950) and (-0.053927), respectively. Keywords: Oil Price, Algerian Dinar Exchange Rate, NARDL Model JEL Classification Number: C22, F31, F41