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

Ahmad H Ahmad, Eric J Pentecost

Research output: Contribution to journalArticle

2 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)66-84
Number of pages19
JournalManchester School
Volume77
Issue numberS1
Early online date14 Jul 2009
DOIs
Publication statusPublished - Sep 2009

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