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Cited by 31Financial Risk and Volatility ModelingMonetary Policy and Economic ImpactMarket Dynamics and Volatility

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Exchange rate volatility in West African countries: is there a shred of Spillover?

Emenike, Kalu Onwukwe·2018·International Journal of Emerging Markets
DOI 10.1108/ijoem-08-2017-0312
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Abstract

Purpose The purpose of this paper is to evaluate selected West African currencies/US dollar exchange rates for the evidence of volatility spillover. Specifically, the paper examines West African CFA franc, Gambian dalasi and Nigerian naira exchange rates in relation to the USD, for any evidence of shock and volatility spillover. Design/methodology/approach The author employs multivariate GARCH (1,1)–BEKK model which enables the evaluation of the interaction within the volatility of two or more series because of its capability to detect volatility spillover among time series observations, as well as the persistence of volatility within each series. Findings The major findings of this study are as follows: there is evidence of volatility clustering in West African CFA franc, Gambian dalasi and Nigerian naira exchange rates in relation to the USD. There is evidence of bi-directional shock and volatility spillover between the Nigerian naira and West African CFA franc/USD exchange rates, and uni-directional shock spillover from the Gambian dalasi to the West African CFA franc/USD exchange rates. There is, however, no evidence of exchange rate shock and volatility spillover between Nigerian naira and Gambian dalasi. Originality/value Although considerable literature exists on the volatility of exchange rate in West Africa and comparative analysis of exchange rates volatility in few countries of West Africa, there is absence of empirical studies on exchange rate volatility spillover…

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Metadata

Authors
Emenike, K. O.
Affiliations
Kampala International University (UG)
Corresponding author
Emenike, Kalu Onwukwe
ORCID
Emenike, Kalu Onwukwe
Venue
International Journal of Emerging Markets
Publisher
Emerald
Published
2018-11-29
Volume
13
Issue
6
Pages
1457-1474
ISSN
1746-8809 (ISSN-L)
DOI
10.1108/ijoem-08-2017-0312
OpenAlex
W2896334368
Cited by
31
References
1
Citations by year
2026: 1 · 2025: 5 · 2024: 4 · 2023: 2 · 2022: 8 · 2021: 4 · 2020: 3 · 2019: 4
FWCI
3.64
Type
journal article
Language
en
Open access
closed
Licence
www.emerald.com/insight/site-policies (tdm)
Locations
International Journal of Emerging Markets (publishedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
  • Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
Keywords
exchange rate volatility, volatility spillovers, CFA franc, Nigerian naira, US dollar exchange rate, West Africa, volatility clustering, shock transmission, currency hedging, monetary policy

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