Asymmetry of ARCH effects and natural resources disease or virtue: Mozambique experience

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Abstract

We study the exchange rate behavior, mainly as to the presence of asymmetry in the shocks to conditional variance. Particularly, we investigate if the presence of that asymmetric response is specific to a marked behavior of the currency, appreciation/Dutch disease/depreciation, and if it appears masked when taking long non-homogeneous periods. Taking Mozambique Metical bilateral exchange rate against South Africa Rand, a major trading partner, we identify specific movements in defined sub-periods, where the most recent has the Dutch disease under scrutiny. Our results point out that asymmetry emerges especially when the currency is depreciating, while it is masked when considering larger periods that combine differences in currency behavior.

Original languageEnglish
Title of host publicationInternational Conference of Numerical Analysis and Applied Mathematics 2015, ICNAAM 2015
EditorsT. Simos, C. Tsitouras
PublisherAmerican Institute of Physics Inc.
ISBN (Print)978-073541392-4
DOIs
Publication statusPublished - 8 Jun 2016
EventInternational Conference of Numerical Analysis and Applied Mathematics 2015, ICNAAM 2015 - Rhodes, Greece
Duration: 23 Sep 201529 Sep 2015

Publication series

NameAIP Conference Proceedings
PublisherAmerican Institute of Physics Inc.
Volume1738
ISSN (Print)0094-243X

Conference

ConferenceInternational Conference of Numerical Analysis and Applied Mathematics 2015, ICNAAM 2015
CountryGreece
CityRhodes
Period23/09/1529/09/15

Keywords

  • Asymmetric effects
  • Dutch disease
  • EGARCH model
  • Exchange rate
  • Mozambique

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    Faias, M., Mota, P., Mulenga, A., & Pina, J. P. (2016). Asymmetry of ARCH effects and natural resources disease or virtue: Mozambique experience. In T. Simos, & C. Tsitouras (Eds.), International Conference of Numerical Analysis and Applied Mathematics 2015, ICNAAM 2015 [190004] (AIP Conference Proceedings; Vol. 1738). American Institute of Physics Inc.. https://doi.org/10.1063/1.4951971