logo
ResearchBunny Logo
The impact of external shocks on volatility persistence and market efficiency of the foreign exchange rate regime: evidence from Malawi

Economics

The impact of external shocks on volatility persistence and market efficiency of the foreign exchange rate regime: evidence from Malawi

J. P. Chunga and P. Yu

This research by Joseph Paul Chunga and Ping YU delves into the complex impacts of external shocks on Malawi's foreign exchange market, revealing significant volatility persistence in response to negative shocks and structural breaks influenced by global events. Dive into the intricate dynamics of this market efficiency study!

00:00
00:00
Playback language: English
Abstract
This study examines the relationship between external shocks and the micro-transmission aspects of volatility persistence and market efficiency in Malawi's foreign exchange market. Using GARCH-type models on monthly data from June 2011 to October 2021, the study finds evidence of structural breaks in volatility and return series, coinciding with the Russia-Ukraine war. Negative shocks significantly increase volatility persistence, asymmetry, and threshold effects. While domestic factors also influence volatility, external influences remain significant, particularly for negative shocks, supporting leverage and volatility feedback effects. FRUH analysis reveals weak-form inefficiency in the foreign exchange market.
Publisher
Humanities & Social Sciences Communications
Published On
Nov 06, 2024
Authors
Joseph Paul Chunga, Ping YU
Tags
volatility persistence
foreign exchange market
external shocks
malawi
market efficiency
GARCH models
structural breaks

Related Publications

Explore these studies to deepen your understanding of the subject.

The validity of Rodrik's conclusion on real exchange rate and economic growth: factor priority evidence from feature selection approach
Economics

The validity of Rodrik's conclusion on real exchange rate and economic growth: factor priority evidence from feature selection approach

M. Seraj, P. Bahramian, et al.

Assessing the extent and persistence of major crisis events in the crude oil market and economy: evidence from the past 30 years
Economics

Assessing the extent and persistence of major crisis events in the crude oil market and economy: evidence from the past 30 years

Q. Zhang, Y. Hu, et al.

The impact of mass gatherings on the local transmission of COVID-19 and the implications for social distancing policies: Evidence from Hong Kong
Medicine and Health

The impact of mass gatherings on the local transmission of COVID-19 and the implications for social distancing policies: Evidence from Hong Kong

P. Zhu, X. Tan, et al.

The impact of digital transformation on the quality and safety level of agricultural exports: evidence from Chinese listed companies
Agriculture

The impact of digital transformation on the quality and safety level of agricultural exports: evidence from Chinese listed companies

Y. Liu, Y. Dong, et al.

Listen, Learn & Level Up
Over 10,000 hours of research content in 25+ fields, available in 12+ languages.
No more digging through PDFs, just hit play and absorb the world's latest research in your language, on your time.
listen to research audio papers with researchbunny