Real exchange rate and asymmetric shocks in the West African Monetary Zone (WAMZ)
Autor: | Ioannis Litsios, Mark Baimbridge, Raymond Adu |
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Rok vydání: | 2019 |
Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Effective exchange rate 05 social sciences 04 agricultural and veterinary sciences Monetary economics Vector autoregression Supply and demand Currency union West african Exchange rate 0502 economics and business Economics 0401 agriculture forestry and fisheries Oil price Productivity Finance |
Zdroj: | Journal of International Financial Markets, Institutions and Money. 59:232-249 |
ISSN: | 1042-4431 |
Popis: | This paper examines real effective exchange rate (REER) responses to shocks in exchange rate determinants for the West African Monetary Zone (WAMZ) over the period 1980–2015. The analysis is based on a country-by-country VECM, and oil price, supply and demand shocks are identified using long run restrictions in a structural VAR model. We report significant differences in the response of REER to real oil price, productivity (supply) and demand preference shocks across these economies. In addition the relative contribution of these shocks to REER movements in the short and long run appears to be different across economies. Our findings suggest that the WAMZ countries are structurally different, and asymmetric shocks with inadequate adjustment mechanisms imply that a monetary union would be costly. |
Databáze: | OpenAIRE |
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