Abstract:
In three different ways of lead–lag causal relationship, covariance/
correlation and coherence, we apply the wavelets analysis via the Continuous Morlet
Wavelet Transform to delineate the significant frequency–time domain lead–lag
relationships for the West African Monetary Zone member countries for real US
dollar exchange rates and their absolute log returns from January 2001 to April
2015. The results indicate that lead–lag associations at different periodicities vary
across the countries. No one country comes off as leading conveniently for both real
and absolute returns of the exchange rates. Our results corroborate other evidences
of non-convergence of exchange rates in the monetary zone, which hinders the
eventual implementation of the single currency in the ECOWAS region.
