Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models

dc.contributor.authorNortey, E.N.N.
dc.contributor.authorNgoh, D.D.
dc.contributor.authorDoku-Amponsah, K.
dc.contributor.authorOfori-Boateng, K.
dc.date.accessioned2018-11-01T10:39:28Z
dc.date.available2018-11-01T10:39:28Z
dc.date.issued2015-02
dc.description.abstractThis paper was aimed at investigating the volatility and conditional relationship among inflation rates, exchange rates and interest rates as well as to construct a model using multivariate GARCH DCC and BEKK models using Ghana data from January 1990 to December 2013. The study revealed that the cumulative depreciation of the cedi to the US dollar from 1990 to 2013 is 7,010.2% and the yearly weighted depreciation of the cedi to the US dollar for the period is 20.4%. There was evidence that, the fact that inflation rate was stable, does not mean that exchange rates and interest rates are expected to be stable. Rather, when the cedi performs well on the forex, inflation rates and interest rates react positively and become stable in the long run. The BEKK model is robust to modelling and forecasting volatility of inflation rates, exchange rates and interest rates. The DCC model is robust to model the conditional and unconditional correlation among inflation rates, exchange rates and interest rates. The BEKK model, which forecasted high exchange rate volatility for the year 2014, is very robust for modelling the exchange rates in Ghana. The mean equation of the DCC model is also robust to forecast inflation rates in Ghana. © 2015, Nortey et al.; licensee Springer.en_US
dc.identifier.otherDOI 10.1186/s40064-015-0837-6
dc.identifier.urihttp://ugspace.ug.edu.gh/handle/123456789/25101
dc.language.isoenen_US
dc.subjectBEKKen_US
dc.subjectDCCen_US
dc.subjectExchangeen_US
dc.subjectGARCHen_US
dc.subjectGhanaen_US
dc.subjectInflationen_US
dc.subjectInterest ratesen_US
dc.subjectVolatilityen_US
dc.titleModeling inflation rates and exchange rates in Ghana: application of multivariate GARCH modelsen_US
dc.typeArticleen_US

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