Interaction entre la croissance économique, l’inflation et le taux de change au kenya

Interaction between economic growth, inflation and exchange rate in kenya

Kevin Nansha

MPRA Paper from University Library of Munich, Germany

Abstract: The issue of the interaction between economic growth, inflation and exchange rate in Kenya, has been the subject of this paper. So,SVAR and ARDL (with bounds test cointegration) models have been used in this study. On time series covering the kenyan economy (1960 to 2020), the Granger causality test has shown that no variable in our study, significantly improves the forecasts of the others. However, the SVAR model has indicated that with theoretical short-term restrictions, a significant depreciation of the kenyan local currency by 10% would cause the kenyan inflation rate to increase by 7.38%. The ARDL model with bounds test cointegration came to a controversial conclusion. In the short run, an appreciation of the kenyan local currency by 10% would lead to a 15.18% increase in the kenyan inflation rate. In the long run, however, a 10% increase in the exchange rate would lead to a small 7.01% increase in the inflation rate in Kenya. In addition, a 10% decrease in past values (lagged by one period) of the inflation rate would cause it to increase by 4.62 % at time "t".

Keywords: Keywords: economic growth; inflation; exchange rate; SVAR; ARDL; Kenya (search for similar items in EconPapers)
JEL-codes: C22 E01 E31 F62 O55 (search for similar items in EconPapers)
Date: 2021-08-18
New Economics Papers: this item is included in nep-fdg and nep-mac
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https://mpra.ub.uni-muenchen.de/109246/1/MPRA_paper_109246.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/109299/1/MPRA_paper_109246.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/109379/2/Interacti ... issance_economiq.pdf revised version (application/pdf)

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