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Nominal exchange rates in Kenya. Are shocks transitory or permanent? An empirical investigation based on fractional integration

Author

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  • Luis Alberiko Gil-Alaña

    (Navarra Center for International Development)

  • Robert Mudida

Abstract

This article deals with the analysis of several nominal exchange rates in Kenya, examining if the shocks are transitory or permanent by means of using fractional integration. The results support the view that most of the exchange rates are nonstationary and non-mean- reverting. Evidence of mean reversion is only obtained for the cases of Canada and India. Thus, shocks affecting the rates against these two currencies are expected to be transitory, disappearing in the long run. Policy implications are then derived.

Suggested Citation

  • Luis Alberiko Gil-Alaña & Robert Mudida, 2012. "Nominal exchange rates in Kenya. Are shocks transitory or permanent? An empirical investigation based on fractional integration," NCID Working Papers 06/2012, Navarra Center for International Development, University of Navarra.
    • Handle: RePEc:nva:unnvaa:wp06-2012
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    Cited by:

    1. Gil-Alana, Luis A. & Mudida, Robert, 2017. "CPI and inflation in Kenya. Structural breaks, non-linearities and dependence," International Economics, Elsevier, vol. 150(C), pages 72-79.
    2. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).

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