Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/217699
Authors: 
Akosah, Nana Kwame
Alagidede, Paul
Schaling, Eric
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 9 [Issue:] 1 [Publisher:] De Gruyter Open [Place:] Warsaw [Year:] 2020 [Pages:] 135-167
Publisher: 
De Gruyter Open, Warsaw
Abstract: 
Ghana's economy is characterised by acute exchange rate volatility alongside persistent and high consumer inflation. This places the economy among the sub-Saharan African countries with the highest inflation over the years. Therefore, we explore in-sample and out-of-sample macro-volatility spillovers to determine the effectiveness of monetary policy and also ascertain the relevance of the exchange rate in Ghana’s interest rate setting at both time and multiscale domains. The study reveals scale-dependent interconnectedness among the macro-variables as their causal linkages broadly intensify at the longer time-scale. We find the real policy rate and the exchange rate to be net transmitters of shocks, while inflation and output gaps are net receivers of shocks from the system. Output gap, however, is the largest net receiver of shocks from the system. The empirical findings generally buttress the prerequisite to uphold exchange rate stability in order to inure general macroeconomic stability in Ghana. In addition, the extent of spillover dynamics from policy interest rate to and from the targeted macro-variables (particularly output gap and inflation) appears to be moderate even in the long run, surmising less effective monetary policy transmission in Ghana.
Subjects: 
Volatility Spillover
Nonlinear Causality
Variance Decomposition
Multi-scale.
JEL: 
C32
E42
E43
E47
E52
E58
F31
F41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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