Next Article in Journal
Chronicle of a Failure Foretold: 2017 Rector Election at Ghent University
Next Article in Special Issue
Asymmetry in Exchange Rate Pass-Through to Consumer Prices: New Perspective from Sub-Saharan African Countries
Previous Article in Journal
Farmers Perceptions of Climate Change Related Events in Shendam and Riyom, Nigeria
Previous Article in Special Issue
Causality in Vietnam’s Parallel Exchange Rate System during 2005–2011: Policy Implications for Macroeconomic Stability
Article Menu

Export Article

Open AccessArticle

Investigating Spillover Effects between Foreign Exchange Rate Volatility and Commodity Price Volatility in Uganda

Economic Research Department, Bank of Uganda, Kampala 7120, Uganda
Economies 2019, 7(1), 1;
Received: 24 September 2018 / Revised: 31 October 2018 / Accepted: 5 December 2018 / Published: 23 December 2018
(This article belongs to the Special Issue Exchange Rate Dynamics)
PDF [893 KB, uploaded 23 December 2018]


This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability: the nominal Uganda shilling per United States dollar (UGX/USD) exchange rate. Volatility spillover is examined using the Generalized Vector Autoregressive (GVAR) approach and Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC), constant conditional correlation (CCC), and varying conditional correlation (VCC) models. Overall, the results of both the GVAR and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis periods, at which point cross-market volatility spillovers and market interconnectedness sharply and markedly increased. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to an amplification of dynamic conditional correlations during and after the global financial crisis (GFC), suggesting an increase in volatility spillovers and interdependence between these markets following the global financial crisis. This is also confirmed by the results of the total spillover index based on the GVAR analysis, which shows low but time-varying volatility spillover that intensified during periods of high uncertainty and market crises, particularly during the global financial crisis and sovereign debt crisis periods. View Full-Text
Keywords: volatility spillovers; commodity price volatility; exchange rate volatility; MGARCH volatility spillovers; commodity price volatility; exchange rate volatility; MGARCH

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

Share & Cite This Article

MDPI and ACS Style

Katusiime, L. Investigating Spillover Effects between Foreign Exchange Rate Volatility and Commodity Price Volatility in Uganda. Economies 2019, 7, 1.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
Economies EISSN 2227-7099 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top