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The impact of real exchange rate volatility on economic growth: Kenyan evidence

Author

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  • Musyoki, Danson
  • Pokhariyal, Ganesh P.
  • Pundo, Moses

Abstract

This paper examines the impact of real exchange rate volatility on economic growth in Kenyan. The study employed the Generalized Autoregressive Condition of Heteroscedasticity (GARCH) and computation of the unconditional standard deviation of the changes to measure volatility and Generalized Method Moments (GMM) to assess the impact of the real exchange rate volatility on economic growth for the period January 1993 to December 2009. Data for the study was collected from Kenya National Bureau of Statistics, Central Bank of Kenya and International Monetary Fund Data Base by taking monthly frequency. The study found that RER was very volatility for the entire study period. Kenya’s RER generally exhibited a appreciating and volatility trend, implying that in general, the country’s international competitiveness deteriorated over the study period. The RER Volatility reflected a negative impact on economic growth of Kenya.

Suggested Citation

  • Musyoki, Danson & Pokhariyal, Ganesh P. & Pundo, Moses, 2012. "The impact of real exchange rate volatility on economic growth: Kenyan evidence," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 7(1), pages 1-17, June.
    • Handle: RePEc:ags:pdcbeh:249373
    DOI: 10.22004/ag.econ.249373
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    Citations

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    Cited by:

    1. Andrew Phiri, 2018. "Nonlinear Relationship between Exchange Rate Volatility and Economic Growth," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 61(3), pages 15-38.
    2. Pei-Ling Lee & Lee Chin & Siong Hook Law & W.N.W. Azman-Saini, 2017. "Do integrated economies grow faster? Evidence from domestic equity holdings," Economics Bulletin, AccessEcon, vol. 37(4), pages 2905-2916.
    3. Saint Kuttu, 2018. "Asymmetric mean reversion and volatility in African real exchange rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(3), pages 575-590, July.
    4. Fourie, Justin & Pretorius, Theuns & Harvey, Rhett & Henrico, Van Niekerk & Phiri, Andrew, 2016. "Nonlinear relationship between exchange rate volatility and economic growth: A South African perspective," MPRA Paper 74671, University Library of Munich, Germany.
    5. Moyo, Delani & Tursoy, Turgut, 2020. "Impact of Inflation and Exchange Rate on the Financial Performance of Commercial Banks in South Africa," MPRA Paper 101383, University Library of Munich, Germany.

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    Keywords

    Financial Economics; Public Economics;

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