Assessing the Currency Market Integration in the SADC Region amid Global Economic Crises

• 발행기관: 세종대학교 경제통합연구소
• 저자명: Richard Mulenga Moses Mayondi Nicholas Odongo
• 간행물 정보: 『Journal of Economic Integration』제39권 제4호, 941~968쪽, 전체 28쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2024.12.01

국문 초록

This study examines the real effective exchange rate (REER) market integration among the selected Southern African Development Community (SADC) countries before, during, and after the 2008-2009 Global Financial Crisis (GFC) and the COVID-19 crisis using daily REER data from January 2002 to January 2024. Using an experimental quantitative study design and employing the Johansen cointegration, vector error correction models(VECMs) and the impulse response functions, findings indicate that the currency markets in the SADC region became less integrated during both the GFC and COVID-19 crises, as indicated by less cointegration vectors in the crises relative to pre-GFC and pre-COVID 19 periods. Findings seem to indicate that the COVID-19 shocks were relatively more intense than the GFC shocks. We recommend that the SADC region should incorporate leading indicators and crisis signalling properties in the currency markets, including but not limited to the Baltic Dry Index (BDI), as part of the strategies to hedge against future global crises.

목차

I. Introduction

II. Literature Review

III. Methodology

IV. Empirical Analysis and Discussions

V. Conclusion

References

키워드

Currency Market Integration Real Effective Exchange Rate SADC Region COVID-19 Baltic Dry Index