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EXCHANGE RATE FLUCTUATIONS AND MACROECONOMIC PERFORMANCE IN SUB-SAHARAN AFRICA: A DYNAMIC PANEL COINTEGRATION ANALYSIS

Ojo, Joshua A. T. and Alege, P. O. EXCHANGE RATE FLUCTUATIONS AND MACROECONOMIC PERFORMANCE IN SUB-SAHARAN AFRICA: A DYNAMIC PANEL COINTEGRATION ANALYSIS. EXCHANGE RATE FLUCTUATIONS AND MACROECONOMIC PERFORMANCE IN SUB-SAHARAN AFRICA: A DYNAMIC PANEL COINTEGRATION ANALYSIS, 4 (11). pp. 1573-1591.

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Abstract

In the light of the widespread effects of the recent global financial crisis on exchange rate and other macroeconomic developments, this paper investigates the implications of exchange rate fluctuations on output and other critical determining factors of exchange rates. We use Panel data set containing 40 countries from Sub-Saharan Africa (SSA) over a period of 13 years: 1995-2007. In the paper, we employ the dynamic generalized methods of moments (GMM) panel data framework using the xtabond2 Difference/ System GMM. We also examine the panel co-integration properties of the variables in order to establish long-run relationship between exchange rate and other macroeconomic variables in the SSA countries. The Panel Granger Causality test confirms the bilateral relationships between some variables in the model. Though the results of the study are tentative, in view of the many assumptions underlying the methods used, they reveal their potency to determine exchange rate (EER), a long-run relationship with variables of the model and bidirectional relationships.

Item Type: Article
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculty of Law, Arts and Social Sciences > School of Social Sciences
Depositing User: Mr Stephen Oluwatobi
Date Deposited: 17 Mar 2015 13:15
Last Modified: 17 Mar 2015 13:15
URI: http://eprints.covenantuniversity.edu.ng/id/eprint/3996

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