Record Details

Volatility Analysis of Exchange Rate of Emerging Economies: A Case of East African Countries (1990-2010)

African Journal of Economic Review

View Archive Info
 
 
Field Value
 
Title Volatility Analysis of Exchange Rate of Emerging Economies: A Case of East African Countries (1990-2010)
 
Creator Tibesigwa, W
Kaberuka, W
Watundu, S
 
Subject Exchange rate volatility, East Africa, EGARCH, GARCH, Burundi, Kenya, Rwanda, Tanzania, Uganda
 
Description The aim of this study is to analyze the volatility of exchange rates of the currencies of the five East African Community (EAC) countries. Time series modeling is applied to the data of these countries. Various models were fitted and compared using Maximum Likelihood approach in order to select the best fitting model for each of these countries. The paper also aims atestablishing whether NEWS affects the smooth movements of the exchange rates. Static and dynamic forecasts were obtained for periods of unrests to ascertain the contribution of the NEWS to abrupt shifts in the exchange rates movements. The results show that all the economies yield significant volatility models implying that the exchange rate volatility does exist in these countries. Furthermore, forecasts show that the exchange rate volatility in these countries reduce after the date of each one’s joining the EAC. This implies that openness of these economies should be encouraged to reduce the exchange rate volatilities of their currencies. The existenceof high rates of exchange volatility could be explained by the fact that these currencies are not pegged to any major international currency. The countries are thus advised to peg their currency to avoid future fluctuations. Keywords: Exchange rate volatility, East Africa, EGARCH, GARCH, Burundi, Kenya, Rwanda, Tanzania, Uganda
 
Publisher Centre for Economics and Community Economic Development
 
Contributor —
 
Date 2015-04-28
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://www.ajol.info/index.php/ajer/article/view/116283
 
Source African Journal of Economic Review; Vol 2, No 2 (2014); 53-70
1821-8148
 
Language eng
 
Relation https://www.ajol.info/index.php/ajer/article/view/116283/105804
 
Rights The copyright belongs to: African Journal of Economic Review, Centre for Economics and Community Economic Development, The Open University of Tanzania, P.O.Box 23409, Dar es salaam, Tanzania