TY  - UNPB
T1  - Inflation uncertainty, exchange rate depreciation and volatility: evidence from Ghana, Mozambique and Tanzania
A1  - Molana,Hassan
A1  - Osei-Assibey,Kwame
AU  - Molana,Hassan
AU  - Osei-Assibey,Kwame
PB  - University of Dundee
PY  - 2010
Y1  - 2010
N2  - While flexible exchange rates facilitate stabilisation, exchange rate fluctuations can cause real volatility. This gives policy importance to the causal relationship between exchange rate depreciation and its volatility. An exchange rate may be expected to become more volatile when the underlying currency loses value. We conjecture that a reverse causation, which further weakens the currency, may be mitigated by price stability. Data from Ghana, Mozambique and Tanzania support this: depreciation makes exchange rate more volatile for all but volatility does not causes depreciation in Tanzania which has enjoyed a more stable inflation despite all countries adopting similar macro-policies since early 1990s.
AB  - While flexible exchange rates facilitate stabilisation, exchange rate fluctuations can cause real volatility. This gives policy importance to the causal relationship between exchange rate depreciation and its volatility. An exchange rate may be expected to become more volatile when the underlying currency loses value. We conjecture that a reverse causation, which further weakens the currency, may be mitigated by price stability. Data from Ghana, Mozambique and Tanzania support this: depreciation makes exchange rate more volatile for all but volatility does not causes depreciation in Tanzania which has enjoyed a more stable inflation despite all countries adopting similar macro-policies since early 1990s.
KW  - Exchange rates
KW  - Depreciation
KW  - Volatility
KW  - Causality
KW  - GARCH
KW  - VAR
M1  - Discussion paper
BT  - Inflation uncertainty, exchange rate depreciation and volatility: evidence from Ghana, Mozambique and Tanzania
T3  - Dundee Discussion Papers in Economics
T3  - en_GB
ER  -