Sources of real exchange rate fluctuations : empirical evidence from nine African countries
Faculty of Applied Economics
Manchester School / University of Manchester. Department of Economics. - Manchester, 1998, currens
, p. 66-84
University of Antwerp
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.