Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/219301
Authors: 
Nkwatoh, Louis Sevitenyi
Cornelius, Kwanga
Year of Publication: 
2019
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 10 [Year:] 2019 [Issue:] 1 [Pages:] 97-117
Abstract: 
The study employs the Markovian processs on annual nominal effective exchange rate of CFA Franc spanning 1975 to 2017 to examine whether the CFA franc is prone to speculative attacks or a contagion effect. The findings reveal that the expected duration for the CFA Franc to be undervalued is twice higher than for it to be overvalued. This validates the contagion effect of a Euro crisis on the CFA Franc. Though the level of growth increased significantly during the undervaluation era, the level of uncertainty remains equally high. The findings confirm that exchange rate devaluation influences the expectations of private agents, which in turn triggers an attack on the domestic currency.
Subjects: 
Contagion Effect
Exchange Rate
Overvaluation
Undervaluation
Speculative Attacks
Stochastic-Markov Process
JEL: 
C58
D84
G01
G17
Persistent Identifier of the first edition: 
Document Type: 
Article

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