Modelling exchange rate variations and global shocks in Brazil
The purpose of this paper is to model variations of Brazil’s exchange rates and global shocks in order to establish if global oil prices and international interest rates (global shocks) have any impact on exchange rate variations in Brazil. After establishing the existence of ARCH effects and ens...
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Faculty of Economics University of Rijeka
2017-06-01
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Online Access: | https://www.efri.uniri.hr/sites/efri.uniri.hr/files/cr-collections/2/08-ngalawa-2017-1-1498741962.pdf |
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doaj-a17c8f40671c46a6a60c3050b9d729082020-11-25T02:20:39ZdeuFaculty of Economics University of RijekaZbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu1331-80041846-75202017-06-01351739510.18045/zbefri.2017.1.73Modelling exchange rate variations and global shocks in BrazilHarold NgalawaAdebayo Augustine KutuThe purpose of this paper is to model variations of Brazil’s exchange rates and global shocks in order to establish if global oil prices and international interest rates (global shocks) have any impact on exchange rate variations in Brazil. After establishing the existence of ARCH effects and ensuring the stationarity of the data set, we estimate the symmetric GARCH (1,1) model along with two asymmetric EGARCH (1,1) and APARCH (1,1) models using the theoretical model of Kamal et al. (2012). The results show that the GARCH (1,1) model provides the best fit for Brazil’s exchange rate variations while the model selection chooses the Student’s t distribution as the preferable model of good fit compared to the alternatives. The study results show that Brazil’s exchange rates are significantly influenced by global shocks. Accordingly, we recommend that the Brazilian government should consider the impact of oil prices and global interest rates when formulating and implementing policies that impact on the exchange rate.https://www.efri.uniri.hr/sites/efri.uniri.hr/files/cr-collections/2/08-ngalawa-2017-1-1498741962.pdfmodelling exchange rate variationsGARCHEGARCEGARC and APARCH |
collection |
DOAJ |
language |
deu |
format |
Article |
sources |
DOAJ |
author |
Harold Ngalawa Adebayo Augustine Kutu |
spellingShingle |
Harold Ngalawa Adebayo Augustine Kutu Modelling exchange rate variations and global shocks in Brazil Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu modelling exchange rate variations GARCH EGARC EGARC and APARCH |
author_facet |
Harold Ngalawa Adebayo Augustine Kutu |
author_sort |
Harold Ngalawa |
title |
Modelling exchange rate variations and global shocks in Brazil |
title_short |
Modelling exchange rate variations and global shocks in Brazil |
title_full |
Modelling exchange rate variations and global shocks in Brazil |
title_fullStr |
Modelling exchange rate variations and global shocks in Brazil |
title_full_unstemmed |
Modelling exchange rate variations and global shocks in Brazil |
title_sort |
modelling exchange rate variations and global shocks in brazil |
publisher |
Faculty of Economics University of Rijeka |
series |
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
issn |
1331-8004 1846-7520 |
publishDate |
2017-06-01 |
description |
The purpose of this paper is to model variations of Brazil’s exchange rates and
global shocks in order to establish if global oil prices and international interest
rates (global shocks) have any impact on exchange rate variations in Brazil. After
establishing the existence of ARCH effects and ensuring the stationarity of the data
set, we estimate the symmetric GARCH (1,1) model along with two asymmetric
EGARCH (1,1) and APARCH (1,1) models using the theoretical model of Kamal et
al. (2012). The results show that the GARCH (1,1) model provides the best fit for
Brazil’s exchange rate variations while the model selection chooses the Student’s t
distribution as the preferable model of good fit compared to the alternatives. The
study results show that Brazil’s exchange rates are significantly influenced by
global shocks. Accordingly, we recommend that the Brazilian government should
consider the impact of oil prices and global interest rates when formulating and
implementing policies that impact on the exchange rate. |
topic |
modelling exchange rate variations GARCH EGARC EGARC and APARCH |
url |
https://www.efri.uniri.hr/sites/efri.uniri.hr/files/cr-collections/2/08-ngalawa-2017-1-1498741962.pdf |
work_keys_str_mv |
AT haroldngalawa modellingexchangeratevariationsandglobalshocksinbrazil AT adebayoaugustinekutu modellingexchangeratevariationsandglobalshocksinbrazil |
_version_ |
1724870913452670976 |