IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/109246.html

Interaction entre la croissance économique, l’inflation et le taux de change au kenya
[Interaction between economic growth, inflation and exchange rate in kenya]

Author

Listed:
  • Nansha, Kevin

Abstract

The issue of the interaction between economic growth, inflation and exchange rate in Kenya, has been the subject of this paper. So,SVAR and ARDL (with bounds test cointegration) models have been used in this study. On time series covering the kenyan economy (1960 to 2020), the Granger causality test has shown that no variable in our study, significantly improves the forecasts of the others. However, the SVAR model has indicated that with theoretical short-term restrictions, a significant depreciation of the kenyan local currency by 10% would cause the kenyan inflation rate to increase by 7.38%. The ARDL model with bounds test cointegration came to a controversial conclusion. In the short run, an appreciation of the kenyan local currency by 10% would lead to a 15.18% increase in the kenyan inflation rate. In the long run, however, a 10% increase in the exchange rate would lead to a small 7.01% increase in the inflation rate in Kenya. In addition, a 10% decrease in past values (lagged by one period) of the inflation rate would cause it to increase by 4.62 % at time "t".

Suggested Citation

  • Nansha, Kevin, 2021. "Interaction entre la croissance économique, l’inflation et le taux de change au kenya [Interaction between economic growth, inflation and exchange rate in kenya]," MPRA Paper 109246, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:109246
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/109246/1/MPRA_paper_109246.pdf
    File Function: original version
    Download Restriction: no
    File URL: https://mpra.ub.uni-muenchen.de/109299/1/MPRA_paper_109246.pdf
    File Function: revised version
    Download Restriction: no
    File URL: https://mpra.ub.uni-muenchen.de/109379/2/Interaction_entre_la_croissance_economiq.pdf
    File Function: revised version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Fatbardha Morina & Eglantina Hysa & Uğur Ergün & Mirela Panait & Marian Catalin Voica, 2020. "The Effect of Exchange Rate Volatility on Economic Growth: Case of the CEE Countries," JRFM, MDPI, vol. 13(8), pages 1-13, August.
    2. Muhammad Kamran Khan & Jian-Zhou Teng & Muhammad Imran Khan, 2019. "Cointegration between macroeconomic factors and the exchange rate USD/CNY," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-15, December.
    3. Hüseyin Şen & Ayşe Kaya & Savaş Kaptan & Metehan Cömert, 2019. "Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships," Working Papers halshs-02095652, HAL.
    4. Hüseyin Şen & Ayşe Kaya & Savaş Kaptan & Metehan Cömert, 2019. "Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships," Working Papers hal-02133041, HAL.
    5. ViniÌ cius de Azevedo Couto Firme & JoaniÌ lio Rodolpho Teixeira, 2014. "Index of Macroeconomic Performance for a Subset of Countries: A Kaldorian Analysis from the Magic Square Approach Focusing on Brazilian Economy in the Period 1997-2012," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(5), pages 527-542, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Haibo Jia & Hao Yun & Khalid Khan, 2025. "Does the Russia-Ukraine war cause exchange rate depreciation? Evidence from the rouble exchange rate," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 24(2), pages 225-239, May.
    2. Lei Wang & Sana Ullah & Muhammad Tayyab Sohail, 2024. "Exchange rate volatility and green growth in China: does nonlinearity matter?," Economic Change and Restructuring, Springer, vol. 57(6), pages 1-26, December.
    3. Adegbite, Grace Oluwafolahanmi, 2024. "The Effect of Foreign Exchange Exposure on the Financial Performance of MNCs in Rwanda," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(6), pages 208-229, June.
    4. Nartey Menzo, Benjamin Prince & Mogre, Diana & Asuamah Yeboah, Samuel, 2024. "Beyond Income: The Complexities of Credit Risk in Developing Countries," MPRA Paper 122364, University Library of Munich, Germany, revised 20 Sep 2024.
    5. Dennij Mandeij, 2020. "Determination of Equilibrium Exchange Rate Rupiah Against US Dollar and its Volatility: Application of Asset Approach," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 6(6), pages 323-336.
    6. Albrecht, Peter & Kočenda, Evžen, 2024. "Volatility connectedness on the central European forex markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
    7. Kerem Sezerer & Burak Arslan, 2024. "A Panel Data Analysis of Effects of Economic Vulnerability Index Indicators on Real Effective Exchange Rate in Developing Countries," International Econometric Review (IER), Economic Research Association, vol. 16(2), pages 89-106, December.
    8. Victor Shevchuk & Roman Kopych, 2021. "Exchange Rate Volatility, Currency Misalignment, and Risk of Recession in the Central and Eastern European Countries," Risks, MDPI, vol. 9(5), pages 1-19, May.
    9. Vu Manh Hoai Nguyen & Tin Huu Ho & Luan Huynh Nguyen & An Thi Ha Pham, 2023. "The Impact of Trade Openness on Economic Stability in Asian Countries," Sustainability, MDPI, vol. 15(15), pages 1-20, July.
    10. Adedotun Joseph Adenigbo & Joash Mageto & Rose Luke, 2023. "Effect of shipping trade on economic growth in Nigeria: the Vector Error Correction Model (VECM) approach," Journal of Shipping and Trade, Springer, vol. 8(1), pages 1-18, December.
    11. Samuel Tolasa & Sisay Tolla Whakeshum & Negese Tamirat Mulatu, 2022. "Macroeconomic Determinants of Inflation in Ethiopia: ARDL Approach to Cointegration," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 8(1), pages 96-120.
    12. Enkeleda Lulaj & Blerta Dragusha & Eglantina Hysa & Marian Catalin Voica, 2024. "Synergizing Sustainability and Financial Prosperity: Unraveling the Structure of Business Profit Growth through Consumer-Centric Strategies—The Cases of Kosovo and Albania," IJFS, MDPI, vol. 12(2), pages 1-18, April.
    13. Simion Matsvai, 2025. "Exchange Rates and Inflation Dynamics in Multicurrency Regimes: The Case of Zimbabwe (2014 to 2024)," IJFS, MDPI, vol. 13(2), pages 1-30, May.
    14. Lin, Yong & Wang, Renyu & Gong, Xingyue & Jia, Guozhu, 2022. "Cross-correlation and forecast impact of public attention on USD/CNY exchange rate: Evidence from Baidu Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    15. Jun Wen & Muhammad Ahmad Usman, 2024. "An empirical investigation of the relationship between real exchange rate and innovation: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 2991-3006, July.
    16. Achouak Barguellil, 2021. "The Asymmetric Indirect Impact of Real Exchange Rate on Economic Growth through Foreign Trade: An Asymmetric ARDL Panel Model," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(8), pages 658-671, August.
    17. Waqas Bin Khidmat & Nayar Rafique & Muhammad Umar, 2024. "Economic policy uncertainty and remittances: mediating role of foreign exchange rate," Economic Change and Restructuring, Springer, vol. 57(4), pages 1-30, August.
    18. Oliver Picek, 2017. "The "Magic Square" of Economic Policy measured by a Macroeconomic Performance Index," Working Papers 1702, New School for Social Research, Department of Economics.
    19. repec:bcp:journl:v:6:y:2022:i:7:p:152-163 is not listed on IDEAS
    20. Wang, Tiantian & Zhang, Dayong & Ji, Qiang & Shi, Xunpeng, 2020. "Market reforms and determinants of import natural gas prices in China," Energy, Elsevier, vol. 196(C).
    21. Dr. Zahid Hussain Shaikh & Ragni Lund & Dr. Niaz Hussain Ghumro, 2024. "Macroeconomic dynamics and Panel VAR -Analysis in Developing Countries," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 13(1), pages 118-126.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F62 - International Economics - - Economic Impacts of Globalization - - - Macroeconomic Impacts
    • O55 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Africa

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:109246. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.