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Modelling Exchange Rate Volatility in Zambia

Author

Listed:
  • Jonathan Chipili

    (Bank of Zambia)

Abstract

The eight real kwacha bilateral exchange rates examined over the period 1968- 2008 in a GARCH framework are characterised by different conditional volatility dynamics. Evidence of asymmetric response to shocks suggests asymmetric central bank reaction to variations in volatility in exchange rates. An index of exchange rate volatility capturing influences specific to Zambia is constructed from the estimated conditional variance using principal components analysis for use as an alternative measure of exchange rate risk.

Suggested Citation

  • Jonathan Chipili, 2012. "Modelling Exchange Rate Volatility in Zambia," The African Finance Journal, Africagrowth Institute, vol. 14(2), pages 85-107.
    • Handle: RePEc:afj:journl:v:14:y:2012:i:2:p:85-107
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    Citations

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    Cited by:

    1. Munazza Jabeen & Saud Ahmad Khan, 2014. "Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan," International Econometric Review (IER), Econometric Research Association, vol. 6(2), pages 58-76, September.
    2. Trust R. Mpofu, 2021. "The determinants of real exchange rate volatility in South Africa," The World Economy, Wiley Blackwell, vol. 44(5), pages 1380-1401, May.
    3. repec:erh:journl:v:6:y:2014:i:2:p:59-77 is not listed on IDEAS

    More about this item

    Keywords

    Exchange Rate Volatility; GARCH; PCA;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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