Exchange rates convergence in ECOWAS: WAMZ and WAEMU analysis on frequency time domains
| Autor: | Richard Eshun, George Tweneboah |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2024 |
| Předmět: | |
| Zdroj: | Cogent Business & Management, Vol 11, Iss 1 (2024) |
| Druh dokumentu: | article |
| ISSN: | 23311975 2331-1975 |
| DOI: | 10.1080/23311975.2024.2374873 |
| Popis: | This study explores the interdependence of exchange rates between the West African Monetary Zone and the West African Economic and Monetary Union countries using monthly data from 2000 to 2021. Employing wavelet multiple correlation and wavelet multiple cross-correlation by Fernando-Macho, we generally uncovered low degrees of integration between the two blocs at higher frequencies, but the level of integration gradually becomes stronger as it navigates from higher a frequency (lower scale) to a lower frequency (higher scale). This implies that ex-ante convergence of exchange rates is difficult; however, in the long time horizon, exchange rate convergence is possible. Evidence from cross-correlation analysis shows that lead (lag) effects is time-varying and heterogeneous, showing no particular country’s exchange rates as leaders or followers. Different currencies have the potential to lead or lag on varying scales. These results suggest that member states establish a regional surveillance mechanism that can monitor macroeconomic indicators in the region. The effective implementation of this mechanism can aid in identifying macroeconomic imbalances and potential risks to macroeconomic stability and convergence. |
| Databáze: | Directory of Open Access Journals |
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