Macroeconomic and market microstructure modelling of Ugandan exchange rate

被引：7
|
作者：
Katusiime, Lorna [1 ]
Shamsuddin, Abul [1 ]
Agbola, Frank W. [1 ]
机构：
[1] Univ Newcastle, Newcastle Business Sch, Callaghan, NSW 2308, Australia
来源：
ECONOMIC MODELLING | 2015年 / 45卷
关键词：
Exchange rates; Monetary model; Market microstructure; Uganda; OPEN-ECONOMY MACROECONOMICS; BID-ASK SPREAD; FOREIGN-EXCHANGE; ORDER FLOW; MONETARY APPROACH; RATE DYNAMICS; PRICE; SHOCK; FIT;
D O I：
10.1016/j.econmod.2014.10.059
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper empirically investigates the usefulness of a hybrid model consisting of macroeconomic fundamentals and market microstructure variables in examining the dynamics of the Uganda shilling/US dollar foreign exchange rates. We employ macroeconomic fundamentals that are guided by the monetary model of exchange rates and market microstructure related frictions represented by order flow and bid-ask spreads to track long-run and short-run movements in exchange rates, respectively. Utilising the ARDL framework, we estimate the model using monthly data spanning the period January 1995 to March 2013. We find that our hybrid model is robust to alternative model specifications and provides an adequate framework to explain the dynamics of the Uganda shilling/US dollar foreign exchange rates. (C) 2014 Elsevier B.V. All rights reserved.
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页码：175 / 186
页数：12
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