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

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Author Info
A. H. AHMAD
ERIC J. PENTECOST

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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. Copyright © 2009 The Authors. Journal compilation © 2009 Blackwell Publishing Ltd and The University of Manchester.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9957.2009.02119.x
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Publisher Info
Article provided by University of Manchester in its journal The Manchester School.

Volume (Year): 77 (2009)
Issue (Month): s1 (09)
Pages: 66-84
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Handle: RePEc:bla:manchs:v:77:y:2009:i:s1:p:66-84

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This page was last updated on 2009-12-19.

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