Browsing by Author "Anguyo, Francis Leni"

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    A Model to Estimate a Composite Indicator of Economic Activity (CIEA) for Uganda
    (Research Department Bank of Uganda., 2011) Anguyo, Francis Leni
    In this paper a Composite Indicator of Economic Activity (CIEA) for Uganda is developed and its applicability to explain short run fluctuations of the economy is illustrated. The CIEA is a more flexible and useful tool for shortterm analysis and forecasting of economic activity than econometric models, especially for small, open and rapidly changing economies. The CIEA methodology is advantageous since composite indexes can reveal common turning point patterns in a set of economic data in a clearer and more convincing manner than the behavior of any individual component. The methodology adopted here is the famous Conference Board technique which has features similar to the Moore- Shiskin methodology. The CIEA is computed for the period January 2005 to April 2011 using monthly data of eight key variables, exports, imports, credit, VAT, PAYE, excise duty, cement production and sales for selected products. The results of the analysis reveal a general upward trend in economic activity. With reference to the recent past between January and April 2011, there was slowdown in economic activity in the months of February and April. Going forward, economic activity is expected to trend upwards for the reminder of the financial year. A snap shot comparison of the CIEA and quarterly GDP reveals a close correlation between the two series. The paper therefore recommends the adoption of the current CIEA in Uganda and proposes continuous improvement with more data.
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    Exchange Rate Fundamentals and Dynamics in a Liberalized Foreign Exchange Market: Evidence from Uganda
    (Bank of Uganda Staff Papers Journal., 2007) Opolot, Jacob; Anguyo, Francis Leni
    This paper investigates exchange rate fundamentals and dynamics since the liberalization of the foreign exchange market in Uganda. The longrun behaviour of the exchange rate and the underlying fundamentals is investigated using both multivariate cointegration framework and dynamic ordinary least squares (DOLS). The DOLS elasticities are largely consistent with those derived from the Johansen and Juselius maximum likelihood approach, except in a few cases. In general both approaches indicate that the fundamentals determine the longrun behaviour of the exchange rate in Uganda are domestic money supply, price differential, terms of trade, and private transfers or remittances from abroad. Having established the existence of a long run relationship, the shortrun dynamics are investigated using a vector error correction model. The results indicates that 2.7 percent of the adjustment towards the longrun equilibrium takes place in one month. In terms of shortrun dynamics, the significant lags are a one-period and a two-period lagged difference of the exchange rate; a two-period and a three-period lagged difference of money supply; a oneperiod, two-period and three-period lagged difference of the price differential; a two period lagged difference of the terms of trade; a one-period and four-period lagged difference of private transfers; and a two-period lagged difference of the foreign interest rate. It is thus evident that the exchange rate behaviour is influenced by monetary policy actions, current account dynamics, and to a limited extent, movements in foreign interest rates
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    Inflation Dynamics in Uganda: a Quantile Regression Approach
    (Macroeconomics and Finance in Emerging Market Economies, 2020) Anguyo, Francis Leni; Gupta, Rangan; Kotzé, Kevin
    This paper considers the measurement of inflation persistence in Uganda and how this has changed over time within different quantiles. The measures of inflation include headline inflation and two measures of core inflation. The results suggest that while a unit root is found in many of the upper quantiles of headline inflation, there is evidence of mean reversion within the lower quantiles, which implies that large positive deviations influence the permanent behaviour of inflation. In addition, we find higher levels of persistence after 2006 and during the inflation-targeting period, where potential structural changes may have arisen within the regression quantiles.
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    Monetary Policy and Financial Frictions in a Small Open-Economy Model for Uganda
    (Empirical Economics, 2020) Anguyo, Francis Leni; Gupta, Rangan; Kotzé, Kevin
    This paper considers the role of financial frictions and the conduct of monetary policy in Uganda. It makes use of a dynamic stochastic general equilibrium model, which incorporates small open-economy features and financial frictions that are introduced though the activities of heterogeneous agents in the household. Most of the parameters in the model are estimated with the aid of Bayesian techniques and quarterly macroeconomic data from 2000q1 to 2015q4. The results suggest that the central bank currently responds to changes in the interest rate spread, despite the fact that capital and financial markets are relatively inefficient in this low-income country. In addition, the analysis also suggests that to reduce macroeconomic volatility, the central bank should continue to respond to these financial sector frictions and that it may be possible to derive a more favourable sacrifice ratio by making use of a slightly more aggressive response to macroeconomic developments.
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    Monetary Policy, Financial Frictions and Structural Changes in Uganda: A Markov-Switching DSGE Approach
    (Economic research-Ekonomska istraživanja, 2020) Anguyo, Francis Leni; Gupta, Rangan; Kotzé, Kevin
    This paper considers the use of regime-switching dynamic stochastic general equilibrium models for monetary policy analysis and forecasting purposes. The objective is to determine whether or not the inclusion of these regime-switching features provide a more accurate description of the economy in a particular lowbincome country. All of the models incorporate financial frictions that are introduced through the activities of heterogeneous agents in the household and several other features that are incorporated in most small open-economy models. Two variants of regime-switching models are considered: one includes switching in the monetary policy rule (only) and the other employs switching in both the monetary policy rule and the volatility of the shocks. The models are applied to the quarterly macroeconomic data for Uganda and most of the parameters are estimated with the aid of Bayesian techniques. The results of the extensive inand out-of-sample evaluation suggest that the model parameters do not remain constant over the two regimes. In addition, the transition probabilities suggest that there are three distinct periods where the central bank response has been more aggressive. These periods relate to a change in policy framework and significant shocks that have affected the Ugandan economy. It is also noted that the forecasting performance of the regime-switching models are possibly superior to the model that excludes these features over certain horizons.