Co-movement of real exchange rates in the West African Monetary Zone

Figures & data

Panel 1A. Monthly real exchange rate in the WAMZ.

Panel 1B. Absolute volatility plots of monthly exchange rate returns in the WAMZ.

Table 1. Summary statistics

Country/measure	Gambia, The	Ghana	Liberia	Nigeria
Levels of exchange rates
Mean	3.402	0.491	4.359	5.141
Median	3.430	0.445	4.310	5.110
Max	3.750	0.860	4.820	5.620
Min	3.040	0.260	4.150	4.750
SD	0.145	0.153	0.165	0.251
Skewness	−0.192	0.646	0.920	0.268
Kurtosis	−0.355	−0.825	0.010	−1.146
Jarque–Bera	1.8244 (0.4016)	16.765 (0.0002289)	24.732 (0.000)	11.144 (0.003803)
Observations	172	172	172	172
Absolute returns of exchange rates
Mean	0.006	0.028	0.006	0.003
Median	0.003	0.024	0.004	0.002
Max	0.044	0.168	0.061	0.031
Min	0.000	0.000	0.000	0.000
SD	0.008	0.029	0.008	0.004
Skewness	2.263	1.663	3.411	4.448
Kurtosis	5.954	3.797	15.919	26.961
Jarque–Bera	410.08 (0.000)	187.3 (0.000)	2193.9 (0.000)	5889.7 (0.000)
Observations	171	171	171	171

Table 2. Correlation of real exchange rate in the WAMZ

Country	Gambia, The	Ghana	Liberia	Nigeria
Levels of real exchange rates
Gambia, The	1.00
Ghana	0.31	1.00
Liberia	−0.18	0.37	1.00
Nigeria	−0.23	0.33	0.90	1.00
Returns of real exchange rates
Gambia, The	1.00
Ghana	−0.01	1.00
Liberia	0.05	−0.15	1.00
Nigeria	0.08	0.03	0.06	1.00

Panel 2. WPS of levels of real exchange rate in the WAMZ.

Panel 3. Reconstructed monthly real exchange rate based on significant periods.

Panel 4. WPS of absolute monthly exchange rate returns in the WAMZ.

Panel 5. Reconstructed absolute monthly exchange rate returns.

Panel 6. Cross-wavelet coherency of monthly real exchange rates.

Panel 7. Cross-wavelet coherency of absolute monthly exchange rate returns.

Table

	[,1]	[,2]	[,3]	[,4]	[,5]	[,6]	[,7]	[,8]	[,9]	[,10]	[,11]	[,12]	[,13]
[1,]	0.80	0.88	0.90	0.95	0.95	0.96	0.97	0.98	0.99	0.96	1.00	0.99	0.99
[2,]	0.75	0.88	0.92	0.95	0.98	0.96	0.99	0.98	0.99	0.97	1.00	0.99	0.99
[3,]	0.77	0.85	0.93	0.96	0.98	0.98	0.99	0.96	0.97	0.97	0.99	1.00	0.98
[4,]	0.74	0.85	0.91	0.95	0.97	0.98	0.99	0.97	0.97	1.00	0.99	1.00	1.00
[5,]	0.71	0.85	0.89	0.96	1.00	1.00	1.00	0.99	1.00	1.00	0.98	0.99	0.99
[6,]	0.75	0.85	0.90	0.94	1.00	0.99	1.00	1.00	1.00	1.00	0.99	0.99	1.00
[7,]	0.67	0.82	0.88	0.96	0.99	1.00	0.99	1.00	1.00	0.99	0.99	1.00	1.00
[8,]	0.59	0.72	0.80	0.96	0.97	0.98	0.99	1.00	0.99	1.00	1.00	0.99	0.98
[9,]	0.59	0.72	0.79	0.89	0.93	0.98	0.98	1.00	1.00	1.00	1.00	0.99	1.00
[10,]	0.56	0.70	0.81	0.89	0.94	0.96	1.00	0.99	0.99	1.00	1.00	1.00	1.00
[11,]	0.60	0.70	0.81	0.92	0.94	0.97	0.99	0.99	0.98	1.00	0.99	1.00	1.00
[12,]	0.57	0.74	0.82	0.90	0.93	0.97	0.99	1.00	0.98	0.99	1.00	1.00	1.00
[13,]	0.55	0.71	0.85	0.89	0.95	1.00	1.00	1.00	0.99	1.00	1.00	0.99	0.99
.. …
… ..
… …
[48,]	0.01	0.01	0.01	0.01	0.01	0.01	0.02	0.02	0.02	0.02	0.02	0.03	0.04
[49,]	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.01	0.01	0.01	0.01
[50,]	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
[51,]	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
[52,]	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
[53,]	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
[54,]	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
[55,]	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
[56,]	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
[57,]	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
[58,]	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00