Measuring and Evaluating the Multiplicity of Exchange Rates in Syria during the Period 2010-2024 using Wavelet Analysis

Abstract

This study aims to measure exchange rate multiple in Syria during the period 2010–2024 using Frenkel and Razin and wave analysis techniques. Wave analysis allows for the separation of fluctuations according to time horizons and the measurement of each measure's contribution to the overall variance. The study utilized monthly data from several series representing official and semi-official exchange rate windows and foreign trade channels, with varying sample sizes depending on the availability date of each exchange rate bulletin. Exchange rate multiple was measured using the exchange rate premium, which allows for the measurement of the divergence of multiple exchange rates from the official rate, Maximum Modulated Wavelet Transform (MOWT) was applied with appropriate filters for each series, and the wavelet variance component was measured to determine whether fluctuations were driven by short-term noise or by medium- and long-term waves. The Bilen–Huzurbazar method was also used to detect outliers and identify the dates of shocks that cause structural shifts within the series. The results showed that the exchange rate premium for allowances had the highest value, while the trade prices for exports and imports carried the lowest exchange rate premiums. The results also showed that the bulk of the variance is concentrated in the medium and long-term timescales of most exchange rates, reflecting the impact of chronic imbalances in the foreign exchange market, inflation expectations, and widening gaps between exchange rates. Simultaneous shocks emerged at specific intervals, particularly during 2020–2024, indicating the transmission of instability between channels via price gaps and hedging behavior. The findings support the need for policies that narrow gaps, improve price signals, and mitigate the distortions generated by multiple exchange rates.