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Fractional integration in the West African Economic and Monetary Union

Author

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  • Héctor Cárcel
  • Luis A. Gil-Alana

Abstract

This paper examines the time series behaviour of three variables (GDP, price level of consumption and population) in the eight countries that belong to the West African Economic and Monetary Union (WAEMU), which are Benin, Burkina Faso, Côte d'Ivoire, Guinea-Bissau, Mali, Niger, Senegal and Togo. The reason for carrying out this study lies on the considerable heterogeneity that can be perceived in the data from these countries. We conduct a long memory and fractional integration modelling framework and we also identify potential breaks in the data. The aim of the study is to perceive up to which degree the eight West African countries that belong to the same monetary union follow the same stability economic patterns. Testing for mean reversion we only found strong evidence of it in the case of Senegal for the price level of consumption, and in the cases of Benin, Burkina Faso and Senegal for GDP.

Suggested Citation

  • Héctor Cárcel & Luis A. Gil-Alana, 2014. "Fractional integration in the West African Economic and Monetary Union," African Journal of Economic and Sustainable Development, Inderscience Enterprises Ltd, vol. 3(3), pages 179-199.
    • Handle: RePEc:ids:ajesde:v:3:y:2014:i:3:p:179-199
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    Cited by:

    1. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale & Hector Carcel, 2015. "Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis," NCID Working Papers 11/2015, Navarra Center for International Development, University of Navarra.
    2. Hector Carcel & Luis A. Gil-Alana & Godfrey Madigu, 2015. "Inflation Convergence in the East African Community: A Fractional Integration and Cointegration Study," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 15(4), pages 507-524, December.

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