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    Real exchange rate and asymmetric shocks in the West African Monetary Zone (WAMZ)

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    Publication date
    2019-03
    Author
    Adu, R.
    Litsios, Ioannis
    Baimbridge, Mark J.
    Keyword
    Real effective exchange rate
    Asymmetric macroeconomic shocks
    West African Monetary Zone
    Currency union
    Rights
    © 2018 Elsevier B.V. All rights reserved. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.
    Peer-Reviewed
    Yes
    
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    Abstract
    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.
    URI
    http://hdl.handle.net/10454/16752
    Version
    Accepted Manuscript
    Citation
    Adu R, Litsios I and Baimbridge M (2019) Real exchange rate and asymmetric shocks in the West African Monetary Zone (WAMZ). Journal of International Financial Markets, Institutions and Money. 59: 232-249.
    Link to publisher’s version
    https://doi.org/10.1016/j.intfin.2018.12.005
    Type
    Article
    Collections
    Management and Law Publications

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