Abstract
This study aims to analyse the relationship between exchange rate and inflation rates persistence in North African countries (Algeria, Tunisia, and Morocco) to determine the extent of inflation persistence in face to exchange rate shocks from January 1987 to April 2023 using the recently developed Fractional Cointegration Model. This topic was chosen due to its significance for monetary policymakers, investors, financial analysts and academics in understanding the dynamics of inflation persistence in North African countries. Our results also showed that Algeria, Tunisia and Morocco has a co-integration relationship between exchange rate and the inflation rate, As exchange rate shocks cause permanent inflation persistence in Algeria and the variation in the inflation rate in Tunisia will persistence for a longer period due to the shock of exchange rate before eventually fading away and the change in the persistence of inflation rate in a Morocco due to an exchange rate shock will fade away within a short period.