ماهیت بلند مدت رابطه بین بازار سیاه و نرخ رسمی ارز

Previous research that investigated the relationship between the black market and the official exchange rate employed cointegration analysis to establish the long-run relationship and Granger causality to detect the short-run causality between the two rates (for a small number of countries). In this paper, we employ annual data over the 1955–1995 period from 31 developing countries to show that indeed in most cases the two rates are cointegrated. Application of Johansen's weak exogeneity test reveals that in the majority of the countries, the black market exchange rate is weakly exogenous, supporting the argument that in the long-run depreciation of domestic currency in the black market induces government officials to devalue the domestic currency and unify the two rates.

Due to capital controls, especially in developing countries, the existence of a black market for foreign exchange, where the black market price of foreign currency is much higher than its official price, is a common norm. In many instances, such countries, in the name of financial reform, adhere to realignment of the official exchange rate to accommodate the development in the black market.1 Other than the movement in the black market rate, many other factors may work as instruments that might have some impact on the governments’ decision to devalue or revalue the official rate. Widespread corruption, absence of the rule of law, order, and an efficient judicial system, smuggling, money-laundering, tax-evasion, currency-substitution, domestic inflation, lack of property and contract rights, and political uncertainty are among the factors that can contribute to a wider gap between the black market and the official exchange rate. In the short-run, there is a tendency for the black market rate to deviate substantially from the official rate. However, in the long-run, when all kinds of adjustments are completed the two rates are expected to converge.

Due to foreign exchange control in many developing countries, there exists a black market for foreign currencies where the black market price of foreign currencies is much higher than their official price. Establishing cointegration between the two rates not only implies market efficiency, but also adjustment of the official rate toward the black market rate in the long-run.