Exchange Rate Behaviour in the West Africa Monetary Zone: A GARCH Approach

Oshinloye, Micheal and Onanuga, Olaronke and Onanuga, Abayomi (2015): Exchange Rate Behaviour in the West Africa Monetary Zone: A GARCH Approach. Published in: Fountain Journal of Management and Social Sciences , Vol. 4, No. 1 (30 June 2015): pp. 50-59.

Abstract

This study employs Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to explore the level of exchange rate volatility in West African Monetary Zone for the period 1980-2014. Our empirical findings reveal that the Gambian dalasi experiences the least volatile official exchange rate while the Liberia dollar is the most volatile in the Zone. There is the need for the government of Gambia and Nigeria to control overshooting dynamics experienced by dalasi and naira. All the countries should exercise monetary and fiscal measures on time to put their exchange rate volatility under check.

• Item Type: MPRA Paper
• Language: English
• Keywords: Exchange rate Volatility, GARCH, West African Monetary Zone
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; F - International Economics > F0 - General > F02 - International Economic Order and Integration; F - International Economics > F3 - International Finance > F31 - Foreign Exchange

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