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.

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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
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article

How Does the Mauritanian Exchange Rate React During a Crisis? The Case of COVID-19

Mohamedou Cheikh Tourad, Youssef Lamrani Alaoui, Mohamedade Farouk Nanne, M.L. Beddi et al.
Journal of risk and financial management
Global Financial Crisis and Policies
article

How Does the Mauritanian Exchange Rate React During a Crisis? The Case of COVID-19

Mohamedou Cheikh Tourad, Youssef Lamrani Alaoui, Mohamedade Farouk Nanne, M.L. Beddi, Mohamed Said Diah
article en

Abstract

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.

Journal of risk and financial managementVol. 18(10)
Mohammed V University (MA), Ecole Mohammadia d'Ingénieurs (MA), École Normale Supérieure de Nouakchott (MR), Université de Nouakchott (MR)
Openalex Percentile: Top 62%
Global Financial Crisis and Policies
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