Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 909: Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014

Kurt Brännäs () and Agostinho Machava ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå School of Business and Economics, Postal: Umeå University, S 901 87 Umeå, Sweden
Agostinho Machava: CEEG, Faculty of Economics, Postal: Universidade Eduardo Mondlane, Mozambique

Abstract: This paper models daily returns of the exchange rate between the Mozambican Metical (MZN) and the South African Rand (ZAR) over the past 18 years. The results indicate that returns and volatility responses to shocks are asymmetric. They also indicate that the effects of shocks are relatively short lived for the returns and that they are quite persistent for volatility. There is also a tentative discussion and some results about exchange rate returns in the non-bank sector.

Keywords: MZN; ZAR; Asymmetry; Nonlinearity; Conditional heteroskedasticity; Estimation

JEL-codes: C22; C51; C58; F31

18 pages, May 20, 2015

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