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Policy rates in ECOWAS: are they fractionally cointegrated?

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  • Nuruddeen Usman

    (Central Bank of Nigeria)

  • Martins Apinran

    (Central Bank of Nigeria)

Abstract

This study explores thestochastic properties and interconnections of central bank policy rates across ECOWAS countries using fractional integration and fractional cointegration techniques. We find that these rates exhibit persistent long-term relationships, with notable exceptions observed in Nigeria and the WAEMU countries due to differences in their monetary regimes. These insights are pivotal for informing the design of effective policies in anticipation of the proposed ECO currency within ECOWAS.

Suggested Citation

  • Nuruddeen Usman & Martins Apinran, 2024. "Policy rates in ECOWAS: are they fractionally cointegrated?," SN Business & Economics, Springer, vol. 4(11), pages 1-15, November.
    • Handle: RePEc:spr:snbeco:v:4:y:2024:i:11:d:10.1007_s43546-024-00739-x
    DOI: 10.1007/s43546-024-00739-x
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    More about this item

    Keywords

    Policy rates; Long memory; Fractional integration and cointegration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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