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Inflation uncertainty, exchange rate depreciation and volatility: evidence from Ghana, Mozambique and Tanzania

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Inflation uncertainty, exchange rate depreciation and volatility: evidence from Ghana, Mozambique and Tanzania. / Molana, Hassan; Osei-Assibey, Kwame.

University of Dundee, 2010. (Dundee Discussion Papers in Economics; 246).

Research output: Working paperDiscussion paper

Harvard

Molana, H & Osei-Assibey, K 2010 'Inflation uncertainty, exchange rate depreciation and volatility: evidence from Ghana, Mozambique and Tanzania' Dundee Discussion Papers in Economics, no. 246, University of Dundee.

APA

Molana, H., & Osei-Assibey, K. (2010). Inflation uncertainty, exchange rate depreciation and volatility: evidence from Ghana, Mozambique and Tanzania. (Dundee Discussion Papers in Economics; 246). University of Dundee.

Vancouver

Molana H, Osei-Assibey K. Inflation uncertainty, exchange rate depreciation and volatility: evidence from Ghana, Mozambique and Tanzania. University of Dundee. 2010, (Dundee Discussion Papers in Economics; 246).

Author

Molana, Hassan; Osei-Assibey, Kwame / Inflation uncertainty, exchange rate depreciation and volatility: evidence from Ghana, Mozambique and Tanzania.

University of Dundee, 2010. (Dundee Discussion Papers in Economics; 246).

Research output: Working paperDiscussion paper

Bibtex - Download

@techreport{87b2cd97db574f6aa9d6ea27d79d9214,
title = "Inflation uncertainty, exchange rate depreciation and volatility: evidence from Ghana, Mozambique and Tanzania",
publisher = "University of Dundee",
author = "Hassan Molana and Kwame Osei-Assibey",
year = "2010",
type = "WorkingPaper <importModel: WorkingPaperImportModel>",
series = "Dundee Discussion Papers in Economics",
institution = "University of Dundee",

}

RIS (suitable for import to EndNote) - Download

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 -

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