Modelling exchange rate volatility in Zambia
作者： Jonathan Chipili
DOI:
关键词:
摘要: The eight real kwacha bilateral exchange rates examined over the period 1968-2008 in a GARCH framework are characterised by different conditional volatility dynamics. Evidence of asymmetric response to shocks suggests central bank reaction variations rates. An index rate capturing influences specific Zambia is constructed from estimated variance using principal components analysis for use as an alternative measure risk.
参考文章(61)
Jin-Gil Jeong, What Drives Exchange Rates?: The Case of the Yen/dollar Rate The Multinational Business Review. ,vol. 8, pp. 31- ,(2000)
Louka T Katseli, Real Exchange Rates in the 1970s Research Papers in Economics. pp. 281- 334 ,(1984) , 10.7208/9780226050997-010
Paul de Grauwe, Marc Janssens, Hilde Leliaert, Real-Exchange-Rate Variability from 1920 to 1926 and 1973 to 1982 ,(1985)
Pieter Korteweg, Exchange-rate policy, monetary policy, and real exchange-rate variability International Finance Section, Dept. of Economics, Princeton University. ,(1980)
Chris Brooks, Introductory Econometrics for Finance ,(2002)
Beatrice Kalinda Mkenda, Long-run and Short-run Determinants of the Real Exchange Rate in Zambia Research Papers in Economics. ,(2001)
Kombe Oswald Mungule, The determinants of the real exchange rate in Zambia ,(2004)
Ricardo Hausmann, Ugo Panizza, Roberto Rigobon, The long-run volatility puzzle of the real exchange rate Journal of International Money and Finance. ,vol. 25, pp. 93- 124 ,(2006) , 10.1016/J.JIMONFIN.2005.10.006
Mohamed Daly Sfia, Tunisia: Sources of Real Exchange Rate Fluctuations Research Papers in Economics. ,(2006)
Chris Brooks, A Double‐threshold GARCH Model for the French Franc/Deutschmark exchange rate Journal of Forecasting. ,vol. 20, pp. 135- 143 ,(2001) , 10.1002/1099-131X(200103)20:2<135::AID-FOR780>3.0.CO;2-R