Macroeconomic and market microstructure modelling of Ugandan exchange rate

Katusiime, Lorna; Shamsuddin, Abul; Agbola, Frank W.

doi:10.1016/j.econmod.2014.10.059

Cited by 16 publications

(21 citation statements)

References 48 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…demonstrating that a rise in domestic interest rate, relative to foreign interest rate may not induce changes in exchange rate, which may be owing to lack of integration of Pakistan's financial market with the rest of the world. Various studies support these findings [for example, Katusiime, et al (2015);Chen, et al (2011) The regime dummy D 00Q3 has a positive and significant coefficient, implying that over the period of flexible exchange rate regime, Pak-rupee exchange rate depreciated significantly. The coefficient of D 07Q3 is negative and significant.…”

Section: Monetary Exchange Model: Short-run and Long-run Estimatesmentioning

confidence: 89%

“…Differences are calculated with reference to the United States (indicated by *). The model presented by Equation 1shows that an increase in the relative money supply causes depreciation in the exchange rate, while increase in relative real income causes appreciation in the exchange rate [Hallwood and MacDonald (2000); Hunter and Ali (2014); Katusiime, et al (2015)]. The model also indicates that increase in relative shortterm interest rate and relative inflation rate causes depreciation of exchange rate.…”

Section: Model and Methodologymentioning

confidence: 99%

“…Effiong (2014), used the same methodology and found the evidence of cointegration between exchange rate and monetary factors for Nigerian economy, based on flexible price of variant monetary model. Katusiime, et al (2015) analyses the relation between Uganda Shilling/US$ and monetary fundamentals and finds that hybrid model provides support to analyse the Uganda Shilling/US$ exchange rates behaviors. Similarly, Bahmani-Oskooee, et al (2015) investigated the link between exchange rate and monetary factors for six countries, using the Autoregressive Distributed Lag (ARDL).…”

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis

Khan¹,

Nawaz²

2018

PDR

View full text Add to dashboard Cite

This study empirically examines the contribution of monetary fundamentals in explaining nominal exchange rate movements in the case of Pak-rupee vis-à-vis US-dollar over the period 1982Q2 to 2014Q2. The empirical results support the existence of cointegration relationship between nominal exchange rate and monetary fundamentals. The results reveal that relative money stocks and real income are the key drivers of exchange rate determination in Pakistan in the long-run. For dynamic interaction, the Structural Vector Autoregressive (SVAR) method is applied. Results from the SVAR show that the responses of exchange rate to shocks, originated from money supply, income, interest rate and inflation differentials, are consistent with the predictions of the flexible-price variant of the monetary model of exchange rate in the short-run. More specifically, the results indicate that inflation and interest rate differential explain maximum variations in exchange rate in the short-run. In essence, results suggest that monetary fundamentals are the key drivers of exchange rate fluctuations in Pakistan, especially in the short-run. JEL Classification: F31, F33, C32, F41 Keywords: Monetary Model, Exchange Rate, SVAR, Pakistan

show abstract

Section: Monetary Exchange Model: Short-run and Long-run Estimatesmentioning

confidence: 89%

Section: Model and Methodologymentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis

Khan¹,

Nawaz²

2018

PDR

View full text Add to dashboard Cite

show abstract

“…Utilizing the ARDL framework, they estimated the model using monthly data. Hybrid model was robust to alternative model specifications and provided an adequate framework to explain the dynamics of the Uganda shilling/US dollar foreign exchange rates (Katusiime et al, 2015). By applying an extended vector auto regression model integrating a generalized extreme value distribution to estimate potential losses from investing in the peso/dollar exchange market using daily data for the period 1970-2007; the block maxima approach was applied to minimize the impact from dependency in prices due to the presence of heteroscedasticity.…”

Section: Literature Reviewmentioning

confidence: 99%

A comparative study of United States and China exchange rate behavior: A co integration analysis

Shafi¹,

Hua²,

Satti³

et al. 2015

10.5267/j.msl

View full text Add to dashboard Cite

Exchange rates always affect the prices of the imports and export of products and services in which countries are trading with other parts of the world. Therefore, exchange rate calculation is one of the essential issues for making appropriate policies. This research investigates the determinants of trade, i.e. import, export, industrial growth, consumption level and oil prices fluctuation, which bring changes in exchange rate and their influence eventually on balance of payments. Data of defined variables was collected on yearly basis for China and USA for thirty one years. By applying cointegration, it is estimated that there existed a long run relationship in both countries. USA and China had significant and correct signs on the short run dynamic and some of the factors did not. Exchange rate did not granger cause balance of payment and balance of payment did not granger cause exchange rate. In conclusion, we found that determinants of balance of trade could affect the exchange rates, also, these rates had considerable effect (positive or negative) on balance of payments. In this twofold study, we found relationship of exchange rate with selected determinants of trade, and also examined their bilateral effect, and then made contrast of both countries.

show abstract

“…Some studies find out the lack of time series behavior (for example McMillan (2009)). There have been several studies that have studied such questions as how the world monetary system will evolve over time and whether the Euro will exceed the dollar as the leading vehicle currency (see, for example, Chortareas et al, 2011;Katusiime et al, 2015Katusiime et al, , 2009.…”

Section: Introductionmentioning

confidence: 99%

Nonlinear adjustment of real exchange rate towards purchasing power parity from G7: An exponential FISTAR modelling

Selmi¹,

Ettbib²,

Hachicha³

2015

10.5267/j.msl

View full text Add to dashboard Cite

Macroeconomic and market microstructure modelling of Ugandan exchange rate

Cited by 16 publications

References 48 publications

Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis

Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis

A comparative study of United States and China exchange rate behavior: A co integration analysis

Nonlinear adjustment of real exchange rate towards purchasing power parity from G7: An exponential FISTAR modelling

Contact Info

Product

Resources

About