The purpose of this study is to determine the synchronous or
asynchronous nature of movements in the exchange rate yields of the various
ECOWAS currencies. This analysis uses the dynamic conditional correlation model
recently developed by .
The use of this methodology is mainly
due to the non-constancy of the volatility of the financial series. Moreover,
this characteristic of volatility remains natural for a small, very open
economy, which is also subject to a multiplicity of exogenous shocks. The
results indicate a transmission of the volatility of the main currencies,
namely CEDI, NAIRA and FRANC CFA. Such results argue in favour of the creation
of a monetary zone.
numbers: C10; C 32; F31.
Rate, Volatility Garch, Dynamic Conditional Correlation, West African Monetary