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Title: Measuring persistence in nominal exchange rate: Implications for Angola’s entrepreneurship and business development
Authors: Belbute, José
Delgado, Júlio
Monteiro, Suzana
Pascoa, Teresa
Keywords: Nominal exchange rate
Issue Date: Sep-2016
Citation: Belbute, J., J. Delgado (2016), S. Monteiro e T. Pascoa (2016), “Measuring persistence in nominal exchange rate; Evidence for Angola,” International Journal of Latest Trends in Finance and Economics Sciences, 6(3), pp. 1162-1179.
Abstract: The purpose of this paper is to measure the degree of persistence in the Kwanza to US Dollar exchange rate. First, our results indicate that nominal exchange rates both in levels and in first differences are I(0), thus implying that the relative purchasing power parity hypothesis for Angola is not rejected. Secondly, we find a significant degree of persistence in both the formal and informal nominal exchange rates. Thirdly, the degree of persistence in the official market is significantly lower than in the formal market, while In first differences, persistence in the official exchange rate is substantially higher than in the informal exchange rate. Lastly, we could not find strong evidence that persistence has changed in levels throughout the sample period. By contrast, there is significant evidence that persistence in first differences has consistently increased after September 2003. These results have important policy implications as the National Bank of Angola is preparing to change its monetary and exchange-rate policy focus to a more inflation-targeting regime and to a more a flexible (or low-managed) exchange-rate regime.
Type: article
Appears in Collections:ECN - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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