Output and price volatility spillovers among ECOWAS members: The role of global and regional uncertainties
This paper examines the role of global and regional uncertainties on output and price dynamics connectedness between members of the Economic Community of West African States (ECOWAS) over the period of 1990 to 2020. The paper employs the Time-Varying Parameter Vector Autoregression connectedness fra...
| Asıl Yazarlar: | , , |
|---|---|
| Materyal Türü: | Makale |
| Dil: | English |
| Baskı/Yayın Bilgisi: |
Elsevier
2023-03-01
|
| Seri Bilgileri: | Scientific African |
| Konular: | |
| Online Erişim: | http://www.sciencedirect.com/science/article/pii/S2468227622004288 |
| _version_ | 1827998477110476800 |
|---|---|
| author | Matthew A. Dada Oluwatomisin J. Oyewole Ismail O. Fasanya |
| author_facet | Matthew A. Dada Oluwatomisin J. Oyewole Ismail O. Fasanya |
| author_sort | Matthew A. Dada |
| collection | DOAJ |
| description | This paper examines the role of global and regional uncertainties on output and price dynamics connectedness between members of the Economic Community of West African States (ECOWAS) over the period of 1990 to 2020. The paper employs the Time-Varying Parameter Vector Autoregression connectedness framework to compute the spillover indexes and the non-parametric causality-in-quantile approach to analyze the causal effect of Global and Africa uncertainties on the output and price connectedness between the countries. Our findings indicate a high degree of interdependence between ECOWAS members in terms of output and prices with the exception of Togo and Mali which show the weakest vulnerability to idiosyncratic shocks from other West African countries. Also, the causal analysis provides evidence supporting a non-linear causal relationship between economic and trade uncertainties and the connectedness between ECOWAS economies, mostly at lower and median quantiles. Policymakers are advised to ensure stability in economic policies and rapid policy intervention to tackle economic crises to reduce economies' exposure to risks and speculative shocks. |
| first_indexed | 2024-04-10T05:43:57Z |
| format | Article |
| id | doaj.art-1e9ce2cf7a904f80b5de1cef91bfdd7d |
| institution | Directory Open Access Journal |
| issn | 2468-2276 |
| language | English |
| last_indexed | 2024-04-10T05:43:57Z |
| publishDate | 2023-03-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Scientific African |
| spelling | doaj.art-1e9ce2cf7a904f80b5de1cef91bfdd7d2023-03-06T04:17:28ZengElsevierScientific African2468-22762023-03-0119e01524Output and price volatility spillovers among ECOWAS members: The role of global and regional uncertaintiesMatthew A. Dada0Oluwatomisin J. Oyewole1Ismail O. Fasanya2Department of Economics, College of Management Sciences, Federal University of Agriculture, Abeokuta, NigeriaDepartment of Economics, College of Management Sciences, Federal University of Agriculture, Abeokuta, NigeriaSchool of Economics and Finance, University of the Witwatersrand, Johannesburg, South Africa; Corresponding author.This paper examines the role of global and regional uncertainties on output and price dynamics connectedness between members of the Economic Community of West African States (ECOWAS) over the period of 1990 to 2020. The paper employs the Time-Varying Parameter Vector Autoregression connectedness framework to compute the spillover indexes and the non-parametric causality-in-quantile approach to analyze the causal effect of Global and Africa uncertainties on the output and price connectedness between the countries. Our findings indicate a high degree of interdependence between ECOWAS members in terms of output and prices with the exception of Togo and Mali which show the weakest vulnerability to idiosyncratic shocks from other West African countries. Also, the causal analysis provides evidence supporting a non-linear causal relationship between economic and trade uncertainties and the connectedness between ECOWAS economies, mostly at lower and median quantiles. Policymakers are advised to ensure stability in economic policies and rapid policy intervention to tackle economic crises to reduce economies' exposure to risks and speculative shocks.http://www.sciencedirect.com/science/article/pii/S2468227622004288C22E31F13F15Q47 |
| spellingShingle | Matthew A. Dada Oluwatomisin J. Oyewole Ismail O. Fasanya Output and price volatility spillovers among ECOWAS members: The role of global and regional uncertainties Scientific African C22 E31 F13 F15 Q47 |
| title | Output and price volatility spillovers among ECOWAS members: The role of global and regional uncertainties |
| title_full | Output and price volatility spillovers among ECOWAS members: The role of global and regional uncertainties |
| title_fullStr | Output and price volatility spillovers among ECOWAS members: The role of global and regional uncertainties |
| title_full_unstemmed | Output and price volatility spillovers among ECOWAS members: The role of global and regional uncertainties |
| title_short | Output and price volatility spillovers among ECOWAS members: The role of global and regional uncertainties |
| title_sort | output and price volatility spillovers among ecowas members the role of global and regional uncertainties |
| topic | C22 E31 F13 F15 Q47 |
| url | http://www.sciencedirect.com/science/article/pii/S2468227622004288 |
| work_keys_str_mv | AT matthewadada outputandpricevolatilityspilloversamongecowasmemberstheroleofglobalandregionaluncertainties AT oluwatomisinjoyewole outputandpricevolatilityspilloversamongecowasmemberstheroleofglobalandregionaluncertainties AT ismailofasanya outputandpricevolatilityspilloversamongecowasmemberstheroleofglobalandregionaluncertainties |