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Periodical article Periodical article ASC Leiden catalogue ASC Leiden catalogue WorldCat catalogue WorldCat
Title:Mozambique metical exchange rate dynamics: evidence of fractional co-integration in the USA and South African rates
Editor:Barros, Carlos P.ISNI
Year:2015
Periodical:South African journal of economics: the quarterly journal of the Economic Society of South Africa = Die Suid-Afrikaanse tydskrif vir ekonomie: die kwartaalblad van die Ekonomiese Vereniging van Suid-Afrika (ISSN 1813-6982)
Volume:83
Issue:4
Pages:569-575
Language:English
Geographic term:Mozambique
Subjects:exchange rates
economic models
Link:http://dx.doi.org/10.1111/saje.12078
Abstract:This paper studies the exchange rate dynamics of the Mozambique metical with respect to the US dollar and the South African rand. However, instead of using standard I(0)/I(1) techniques, the authors use long memory and fractionally integrated and co-integrated models. Their results indicate that the two exchange rates are highly persistent, with orders of integration equal to or above 1. They also seem to be co-integrated, with an order of integration close to albeit above 0 but with an AR coefficient very close to 1. Thus, although the two series seem to be fractionally co-integrated, shocks in the long-run relationship between the two variables are persistent and take a long time to disappear. Bibliogr., notes, ref., sum. [Journal abstract]