How Does the Mauritanian Exchange Rate React During a Crisis? The Case of COVID-19
This paper examines the impact of the COVID-19 pandemic on the volatility of the EUR/MRU and USD/MRU exchange rates using GARCH-type models. Symmetric GARCH(1,1) and asymmetric specifications—EGARCH and GJR-GARCH—are applied to capture potential leverage effects over two periods: pre-COVID (January 2017–December 2019) and COVID (January 2017–December 2021). The results indicate that the pandemic increased short-run volatility for EUR/MRU, while its impact on USD/MRU was comparatively weaker. Asymmetric models reveal that COVID-19 altered the response of volatility to shocks, with EUR/MRU exhibiting heightened sensitivity and USD/MRU showing contrasting asymmetries. In addition, an out-of-sample backtesting exercise confirms the superior predictive performance of asymmetric models, particularly EGARCH for EUR/MRU and GJR-GARCH for USD/MRU. These findings underscore distinct volatility dynamics and the transmission of external shocks in a small open economy during periods of global uncertainty.
Authors
- Mohamedou Cheikh Tourad (ORCID: https://orcid.org/0000-0003-1273-7512)
- Youssef Lamrani Alaoui (ORCID: https://orcid.org/0000-0002-1191-4348)
- Mohamedade Farouk Nanne (ORCID: https://orcid.org/0000-0002-4079-8286)
- M.L. Beddi (ORCID: https://orcid.org/0000-0001-6276-3861)
- Mohamed Said Diah
Institutions
- Mohammed V University (MA)
- Ecole Mohammadia d'Ingénieurs (MA)
- École Normale Supérieure de Nouakchott (MR)
- Université de Nouakchott (MR)
Publication Details
- Journal
- Journal of risk and financial management
- Published
- 2025-10-17
- DOI
- https://doi.org/10.3390/jrfm18100589
- Primary Topic
- Global Financial Crisis and Policies
- Type
- article
- Field-Weighted Citation Impact
- 0.00