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Publicação
Exchange market pressure: "lessons from Mozambique and Cape Verde"
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| 8.16 MB | Adobe PDF |
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Orientador(es)
Resumo(s)
This project intends to bring better introduction and assessment of credibility of the exchange rate regime in Mozambique and explore the relationship with the monetary policy. The analysis is conducted by using the Exchange Market Pressure (EMP), ARCH and VAR modeling approaches. The selected model, EGARCH-M, shows a significant volatility and mean reduction after an identified structural break. In August 1997, Macroeconomic fundamentals were computed as explanatory variables of the EMP index proving to be in line with economic intuition and identifying credibility gains and reform achievements.
Descrição
A Work Project, presented as part as the requirements for the Award of a Masters Degree in Economics from the Nova School in Business and Economics
Palavras-chave
Exchange Market Pressure ARCH models Variance Structural Breaks VARS and Monetary Policy JEL Classification: C22-E52-F31