dc.contributor.author | Destaings Nyongesa and Alphonce Odondo Wanyama Silvester Mackton | |
dc.date.accessioned | 2020-12-01T09:05:58Z | |
dc.date.available | 2020-12-01T09:05:58Z | |
dc.date.issued | 2018 | |
dc.identifier.uri | https://repository.maseno.ac.ke/handle/123456789/3152 | |
dc.description.abstract | A country’s real effective exchange rate (REER) is an important determinant of the growth of crossborder
trading and it serves as a measure of its international competitiveness. The REER is an
active source of discussions in Kenya where questions have arisen revolving around persistent
exchange rate shocks and possible interventions. Kenya’s vulnerability to the external shocks has
increased and the real effective exchange rate has experienced episodes of appreciations. There is
scanty information that has specifically focused on the Kenyan’s real effective exchange rate
(REER). This study carried out an assessment of the real effective exchange rate (REER) volatility
in Kenya. The study was guided by the Dornbusch overshooting model and adopted correlation
Research Design. It relied on secondary data for the period 1972 – 2015. To overcome the
methodological deficiencies of using the measures of unconditional volatility, this study focused on
the conditional volatility employing the GARCH technique that is a superior measure of uncertainty.
The Augmented Dickey-Fuller and Phillip-Perron approaches were used to test for the presence of
unit roots. It was found that real effective exchange rate in Kenya has been volatile within the period
under consideration. These findings will add value to the Dornbusch overshooting model, production
flexibility and risk aversion theories and partial and general equilibrium theories and will further help
in the formulation of fiscal and monetary policies to address macroeconomic shocks associated with
REER shocks in the Kenyan economy. | en_US |
dc.publisher | Asian Journal of Economics, Business and Accounting | en_US |
dc.subject | Real effective exchange rate; conditional volatility; generalized autoregressive conditional heteroscedasticity; international competitiveness | en_US |
dc.title | An Econometric Assessment of the Real Effective Exchange Rate Volatility in Kenya | en_US |
dc.type | Article | en_US |