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<b>Monetary Policy, Exchange Rate Shocks, and Asset Prices in a Small Open Frontier Economy: An Integrated Multi‑Horizon Distributional Analysis</b>

Domain:

socioeconomic

Record type:

paper
Creator:
ForNya
Publisher:
fig
Host:avatar
This study investigates how monetary policy shocks affect equity market performance in Ghana — a frontier economy characterised by persistent macroeconomic volatility, shallow financial markets, and recurrent structural breaks — over the period January 2007 to December 2024 (N = 216 monthly observations). We employ a multi-method framework integrating Bayesian Quantile Regression (BQR), Toda–Yamamoto augmented VAR causality testing, impulse response functions (IRF), forecast error variance decomposition (FEVD), and continuous Morlet wavelet coherence analysis. Zivot–Andrews structural break unit root tests account for endogenous breaks associated with the 2008–2009 Global Financial Crisis, the 2014–2015 exchange rate crisis, the COVID-19 pandemic, and the 2022–2023 sovereign debt and inflation crisis.

Tags

Time-series analysisEconomic models and forecastingCross-sectional analysis

Licenses

Creative Commons Attribution 4.0 Internationalhttps://creativecommons.org/licenses/by/4.0/legalcode

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