O papel da volatilidade da taxa de câmbio no crescimento econômico de Angola (1995-2024): modelo ARDL

Abstract

This dissertation aims to analyze the relationship between exchange rate volatility and Angola's economic growth over the period from 1995 to 2024. The relevance of this topic stems from the Angolan economy's heavy dependence on oil exports and its strong exposure to external shocks, which significantly influence exchange rate dynamics and the country's macroeconomic performance. To achieve the proposed objective, measures of nominal effective exchange rate volatility and real effective exchange rate volatility were estimated using ARCH-GARCH models. Subsequently, the Autoregressive Distributed Lag (ARDL) approach was employed to identify both short-run and long-run relationships between exchange rate volatility and economic growth, while controlling for the effects of inflation, terms of trade, the investment rate, international oil prices, and human capital. The results reveal the existence of a cointegration relationship among the variables in all estimated models, as confirmed by the Bounds tests and the statistically significant error correction coefficients. The main empirical finding, based on the objective of this dissertation, is that nominal effective exchange rate volatility is statistically significant with a positive coefficient in the long run in Model 1 (including human capital), whereas in Model 2 (including changes in the terms of trade), it is not statistically significant and exhibits a negative coefficient. By contrast, for the models incorporating real effective exchange rate volatility, no statistical significance was found in either of the two estimated ARDL models, although the estimated coefficients are positive in both cases. The findings also reveal differences in the speed of adjustment toward the long-run equilibrium. While the first model with the nominal effective exchange rate indicates a return to equilibrium in approximately four years, the second model suggests an adjustment period of around five years. For Models 1 and 2 based on the real effective exchange rate, the adjustment speed is similar, with equilibrium being restored in approximately six years. Short-run changes in exchange rate volatility proved to be relevant in the models including human capital for both the nominal and real effective exchange rates. Overall, the error correction evidence suggests that exchange rate shocks generate relatively persistent effects on the Angolan economy, reflecting structural characteristics associated with its high dependence on the oil sector and its limited productive diversification.