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Sources Of Real Exchange Rate Fluctuations: Empirical Evidence From Nine African Countries

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  • A. H. AHMAD
  • ERIC J. PENTECOST

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.

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  • A. H. Ahmad & Eric J. Pentecost, 2009. "Sources Of Real Exchange Rate Fluctuations: Empirical Evidence From Nine African Countries," Manchester School, University of Manchester, vol. 77(s1), pages 66-84, September.
    • Handle: RePEc:bla:manchs:v:77:y:2009:i:s1:p:66-84
    DOI: 10.1111/j.1467-9957.2009.02119.x
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    3. Rania Jammazi & Chaker Aloui, 2014. "Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case," Working Papers 2014-198, Department of Research, Ipag Business School.

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