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How Does the Mauritanian Exchange Rate React During a Crisis? The Case of COVID-19

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  • Mohamed Said Diah

    (Scientific Computing, Computer Science and Data Science Research Unit (CSIDS), Faculty of Science and Technics, Nouakchott University, Nouakchott, Mauritania
    Current address: Department Matemetical, Faculty of Science and Technics, Nouakchott University, Mauritania.
    These authors contributed equally to this work.)

  • Mohamedou Cheikh Tourad

    (Scientific Computing, Computer Science and Data Science Research Unit (CSIDS), Faculty of Science and Technics, Nouakchott University, Nouakchott, Mauritania
    These authors contributed equally to this work.)

  • Youssef Lamrani Alaoui

    (Ifelab-LERMA, Mohammadia School of Engineering, Mohammed V University, Rabat B.P:8007.N.U, Morocco
    These authors contributed equally to this work.)

  • Mohamedade Farouk Nanne

    (Scientific Computing, Computer Science and Data Science Research Unit (CSIDS), Faculty of Science and Technics, Nouakchott University, Nouakchott, Mauritania)

  • Mohamed Abdallahi Beddi

    (Geometry, Analysis, Algebra, and Applications (G3A), Faculty of Science and Technics, Nouakchott University, Nouakchott, Mauritania)

Abstract

This paper examines the impact of the COVID-19 pandemic on the volatility of the EUR/MRU and USD/MRU exchange rates using GARCH-type models. Symmetric GARCH(1,1) and asymmetric specifications—EGARCH and GJR-GARCH—are applied to capture potential leverage effects over two periods: pre-COVID (January 2017–December 2019) and COVID (January 2017–December 2021). The results indicate that the pandemic increased short-run volatility for EUR/MRU, while its impact on USD/MRU was comparatively weaker. Asymmetric models reveal that COVID-19 altered the response of volatility to shocks, with EUR/MRU exhibiting heightened sensitivity and USD/MRU showing contrasting asymmetries. In addition, an out-of-sample backtesting exercise confirms the superior predictive performance of asymmetric models, particularly EGARCH for EUR/MRU and GJR-GARCH for USD/MRU. These findings underscore distinct volatility dynamics and the transmission of external shocks in a small open economy during periods of global uncertainty.

Suggested Citation

  • Mohamed Said Diah & Mohamedou Cheikh Tourad & Youssef Lamrani Alaoui & Mohamedade Farouk Nanne & Mohamed Abdallahi Beddi, 2025. "How Does the Mauritanian Exchange Rate React During a Crisis? The Case of COVID-19," JRFM, MDPI, vol. 18(10), pages 1-32, October.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:10:p:589-:d:1773448
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