@inproceedings{f55682dc70cb44f9a0d0c6ea3dfa07cf,
title = "Asymmetry of ARCH effects and natural resources disease or virtue: Mozambique experience",
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.",
keywords = "Asymmetric effects, Dutch disease, EGARCH model, Exchange rate, Mozambique",
author = "Marta Faias and Pedro Mota and Alberto Mulenga and Pina, \{Joaquim P.\}",
year = "2016",
month = jun,
day = "8",
doi = "10.1063/1.4951971",
language = "English",
isbn = "978-073541392-4",
series = "AIP Conference Proceedings",
publisher = "AIP - American Institute of Physics",
editor = "T. Simos and C. Tsitouras",
booktitle = "International Conference of Numerical Analysis and Applied Mathematics 2015, ICNAAM 2015",
address = "United States",
note = "International Conference of Numerical Analysis and Applied Mathematics 2015, ICNAAM 2015 ; Conference date: 23-09-2015 Through 29-09-2015",
}