Mozambique metical exchange rate dynamics: evidence of fractional co-integration in the USA and South African rates

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Periodical article

Title:	Mozambique metical exchange rate dynamics: evidence of fractional co-integration in the USA and South African rates
Editor:	Barros, Carlos P.
Year:	2015
Periodical:	South African Journal of Economics (ISSN 0038-2280)
Volume:	83
Issue:	4
Pages:	569-575
Language:	English
Geographic term:	Mozambique
Subjects:	exchange rates economic models
External link:	https://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]