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Sources of real exchange rate fluctuations: empirical evidence from nine African countries


Reference:

Ahmad, A. H. and Pentecost, E. J., 2009. Sources of real exchange rate fluctuations: empirical evidence from nine African countries. Manchester School, 77 (S1), pp. 66-84.

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Official URL:

http://dx.doi.org/10.1111/j.1467-9957.2009.02119.x

Abstract

We investigate the sources of real exchange rate fluctuations in a sample of nine African countries from 1980:01 to 2005:04, using a trivariate structural vector autoregression. The analysis is motivated by a stochastic sticky-price model from which three shocks are identified; demand, supply and monetary shocks. The results indicate that demand shocks are the predominant source of real exchange rate movements in these countries, although nominal shocks have also played a small but significant role in South Africa and Botswana, and supply shocks seem to be of some relevance for Algeria, Egypt and Tanzania.

Details

Item Type Articles
CreatorsAhmad, A. H.and Pentecost, E. J.
DOI10.1111/j.1467-9957.2009.02119.x
DepartmentsFaculty of Humanities & Social Sciences > Economics
RefereedNo
StatusPublished
ID Code22729

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