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<p>This study examines the nexus between oil prices, the exchange rate, and foreign exchange reserves in Algeria over the period 1994–2024, employing Quantile Cointegration (QC), Quantile Granger Causality (QGC), and Quantile-on-Quantile Regression (QQR) to capture nonlinear and asymmetric dynamics. The results suggest heterogeneous long-run relationships, with a unidirectional causal effect from oil prices to both the exchange rate and reserves, alongside bidirectional causality between reserves and the exchange rate. The QQR findings indicate a dominant positive relationship between oil prices and the exchange rate, with oil price fluctuations generally associated with a gradual depreciation of the Algerian dinar. In contrast, the relationship between oil prices and reserves is largely positive, while the exchange rate–reserve nexus is predominantly negative, reflecting the stabilizing role of reserves, with limited positive effects at lower reserve levels. The impact of reserves on the exchange rate appears to be state-dependent, and robustness checks confirm the stability of these results. Overall, oil prices appear to be the primary driver of exchange rate and reserve dynamics, while reserves remain a key policy instrument under the managed float regime, suggestive of “fear of floating” behavior. These findings highlight the importance of enhancing exchange rate flexibility, promoting economic diversification, and developing the interbank foreign exchange market.</p>

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Oil prices, exchange rates, and foreign reserves in Algeria: A quantile-based empirical analysis

  • 期刊论文

  • 发表日期：

    2026年6月24日

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  • Abderazak Madouri,
  • Hacene Tchoketch-Kebir,
  • Sidi Mohammed Chekouri,
  • Abderrahim Chibi

摘要

This study examines the nexus between oil prices, the exchange rate, and foreign exchange reserves in Algeria over the period 1994–2024, employing Quantile Cointegration (QC), Quantile Granger Causality (QGC), and Quantile-on-Quantile Regression (QQR) to capture nonlinear and asymmetric dynamics. The results suggest heterogeneous long-run relationships, with a unidirectional causal effect from oil prices to both the exchange rate and reserves, alongside bidirectional causality between reserves and the exchange rate. The QQR findings indicate a dominant positive relationship between oil prices and the exchange rate, with oil price fluctuations generally associated with a gradual depreciation of the Algerian dinar. In contrast, the relationship between oil prices and reserves is largely positive, while the exchange rate–reserve nexus is predominantly negative, reflecting the stabilizing role of reserves, with limited positive effects at lower reserve levels. The impact of reserves on the exchange rate appears to be state-dependent, and robustness checks confirm the stability of these results. Overall, oil prices appear to be the primary driver of exchange rate and reserve dynamics, while reserves remain a key policy instrument under the managed float regime, suggestive of “fear of floating” behavior. These findings highlight the importance of enhancing exchange rate flexibility, promoting economic diversification, and developing the interbank foreign exchange market.