Variables AD1F(0) AD]F(l) AD]F(2) PP(BartlettKernel) Concl.
Intercept
LnRER -1.09 -1.86 -1.23 -2.35 -1.12 -1.92 -1.04 -2.06 1(1)
ALnRER -5.01*** -4 94*** -4 48*** -444*** -3 89*** -3.93** -5.02*** -499***
LnTOT -3.46** -3.80** -4.28*** -4 88*** -2.92* -3.39* -3.16** -3.42* 1(0)
LnOPEN -3.17** -3.09 -2.64* -2.56 -3.19** -3.11 -3.05** -2.94 1(0)
LnGEX -2.50 -2.86 -1.53 -1.97 -1.48 -2.02 -2.50 -2.86 1(1)
ALnGEX -8.45*** -8.31*** -473*** -467*** -4.82*** -4.89*** -10 7*** -13.5***
LnlGDP -3.11** -4.82*** -1.78 -2.67 -1.45 -2.36 -3.03** -495*** 1(0)
LnNER 0.05 -1.39 -0.67 -1.88 -0.66 -1.61 -0.24 -1.84 1(2)
ALnNER -2.91* -2.83 -2.87* -2.77 -1.89 -1.78 -2.83* -2.73
AALnNER -6.35*** -6.31*** -6.48*** -6.48*** -409*** -4 76*** -10.3*** -13 7***
LnDC -1.29 -0.62 -1.35 -0.34 -1.52 0.14 -1.37 -0.39 1(1)
ALnDC -5.81*** -5 99*** -4.26*** -4.55*** -3.13** -3.48* -5 79*** -6.00***
Yg -4 52*** -4 52*** -2.82* -2.83 -3.04** -3.06 -448***
-4 52*** 1(0)
CAPFLO -2.30 -2.96 -2.25 -2.98 -1.92 -2.79 -2.30 -2.95 1(1)
[ÃCAPFL
-5.69*** -5.60*** -3.71*** -3.49* -3.14** -2.83 -5.69*** -5.60***1 I
Annex 5: The Johansencointegrationtestresultof theGambia model
Date: 01/28/09 Time: 12:47 Sample(adjusted): 19722006
Included observations:35afteradjustments Trendassumption: Lineardeterministic trend
Series:LNRER LNTOT LNOPEN LNGEX YG LNIGDP CAPFLO LNDC LNNER Lags interval(in first differences): 1 to 1
UnrestrictedCointegration Rank Test (Trace)
Hypothesized Trace 0.05
No.ofCE(s) Eigenvalue Statistic CriticalValue Prob.**
None* 0.952168 351.3834 197.3709 0.0000
At most1 * 0.853728 244.9813 159.5297 0.0000
At most2 * 0.785046 177.7012 125.6154 0.0000
At most3 * 0.760819 123.8946 95.75366 0.0002
At most4 * 0.577942 73.82584 69.81889 0.0231
At most 5 0.455409 43.63437 47.85613 0.1179
At most6 0.329684 22.36416 29.79707 0.2787
At most 7 0.203414 8.363936 15.49471 0.4273
At most8 0.011483 0.404244 3.841466 0.5249
Tracetestindicates5cointegratingeqn(s) at the0.05 level
*denotesrejectionof thehypothesis atthe0.05level
"MacKinnon-Haug-Michelis(1999)p-values
UnrestrictedCointegration RankTest(MaximumEigenvalue)
Hypothesized Max-Eigen 0.05
No.ofCE(s) Eigenvalue Statistic CriticalValue Prob."
None* 0.952168 106.4020 58.43354 0.0000
At most1 * 0.853728 67.28014 52.36261 0.0008
Atmost2* 0.785046 53.80660 46.23142 0.0065
Atmost3* 0.760819 50.06874 40.07757 0.0028
At most4 0.577942 30.19147 33.87687 0.1294
At most5 0.455409 21.27021 27.58434 0.2602
Atmost6 0.329684 14.00022 21.13162 0.3650
At most7 0.203414 7.959692 14.26460 0.3828
At most8 0.011483 0.404244 3.841466 0.5249
Max-eigenvaluetestindicates4 cointegrating
eqn(s)
atthe 0.05 level
*denotesrejectionofthehypothesis atthe0.05level
"MacKinnon-Haug-Michelis(1999)p-values
Annex 6: The Johansen cointegrationtestresultof the Ghanamodel
Date:01/29/09 Time:18:57
Sample (adjusted): 19732006
Includedobservations: 34 afteradjustments Trendassumption: Lineardeterministic trend
Series:LNRER LNTOT LNOPEN LNGEX YG LNIGDP CAPFLO LNDC LNNER Lagsinterval(in first differences):2 to 2
Unrestricted CointegrationRank Test(Trace)
Hypothesized Trace 0.05
No.ofCE(s) Eigenvalue Statistic Critical Value Prob.**
None* 0.969717 339.3726 197.3709 0.0000
At most1 * 0.911450 220.4691 159.5297 0.0000
Atmost2 * 0.719992 138.0465 125.6154 0.0070
At most3 0.628289 94.76663 95.75366 0.0584
At most4 0.539774 61.11896 69.81889 0.2026
At most 5 0.425475 34.73368 47.85613 0.4621
At most6 0.324112 15.89046 29.79707 0.7200
At most7 0.070595 2.571717 15.49471 0.9829
At most8 0.002425 0.082564 3.841466 0.7738
Tracetestindicates3cointegratingeqn(s)atthe0.05level
*denotesrejectionofthehypothesisatthe 0.05level
**MacKinnon-Haug-Michelis(1999)p-values
UnrestrictedCointegration RankTest(MaximumEigenvalue)
Hypothesized Max-Eigen 0.05
No.ofCE(s) Eigenvalue Statistic Critical Value Prob.**
None* 0.969717 118.9035 58.43354 0.0000
At most1 * 0.911450 82.42255 52.36261 0.0000
At most2 0.719992 43.27991 46.23142 0.1003
Atmost3 0.628289 33.64768 40.07757 0.2213
At most4 0.539774 26.38528 33.87687 0.2977
At most5 0.425475 18.84322 27.58434 0.4267
At most6 0.324112 13.31874 21.13162 0.4233
At most7 0.070595 2.489153 14.26460 0.9748
Atmost8 0.002425 0.082564 3.841466 0.7738
Max-eigenvaluetestindicates2cointegrating
eqn(s) at the 0.05 level
*denotesrejectionof thehypothesis atthe0.05
level
**MacKinnon-Haug-Michelis(1999) p-values
Annex 7: The Johansencointegrationtestresultof theNigeria model
Date:01/29/09 Time: 18:55 Sample (adjusted): 19732006
Included observations:34afteradjustments Trendassumption: Lineardeterministic trend
Series: LNRER LNTOT LNOPEN LNGEX YG LNIGDP CAPFLO LNDC LNNER Lagsinterval (in first differences): 2 to 2
UnrestrictedCointegration RankTest(Trace)
Hypothesized Trace 0.05
No.ofCE(s) Eigenvalue Statistic Critical Value Prob.**
None* 0.941011 319.6000 197.3709 0.0000
At most1 * 0.894422 223.3665 159.5297 0.0000
At most2* 0.805677 146.9242 125.6154 0.0013
At most3 0.660180 91.22429 95.75366 0.0984
At most4 0.533747 54.52676 69.81889 0.4390
At most5 0.352829 28.58387 47.85613 0.7877
At most6 0.251269 13.78897 29.79707 0.8522
At most7 0.095628 3.950212 15.49471 0.9075
At most8 0.015546 0.532716 3.841466 0.4655
Trace testindicates3cointegratingeqn(s)atthe0.05level
*denotesrejectionofthehypothesisatthe0.05level
**MacKinnon-Haug-Michelis(1999) p-values
Unrestricted Cointegration Rank Test(MaximumEigenvalue)
Hypothesized Max-Eigen 0.05
No.ofCE(s) Eigenvalue Statistic CriticalValue Prob.**
None* 0.941011 96.23346 58.43354 0.0000
At most1 * 0.894422 76.44230 52.36261 0.0000
At most2* 0.805677 55.69991 46.23142 0.0037
At most3 0.660180 36.69753 40.07757 0.1145
At most4 0.533747 25.94289 33.87687 0.3242
At most5 0.352829 14.79490 27.58434 0.7643
At most6 0.251269 9.838755 21.13162 0.7596
At most7 0.095628 3.417496 14.26460 0.9151
Atmost8 0.015546 0.532716 3.841466 0.4655
Max-eigenvaluetestindicates3cointegrating
eqn(s) at the 0.05 level
*denotesrejectionof thehypothesis atthe0.05level
**MacKinnon-Haug-Michelis(1999)p-values
Annex 8: The Johansencointegrationtestresultof theSierraleonemodel
Date:01/29/09 Time: 18:49 Sample (adjusted): 19732006
Included observations:34afteradjustments Trendassumption: Lineardeterministic trend
Series: LNRER LNTOT LNOPEN LNGEX YG LNIGDP CAPFLO LNDC LNNER Lagsinterval (in first differences): 2 to 2
UnrestrictedCointegration RankTest(Trace)
Hypothesized Trace 0.05
No.ofCE(s) Eigenvalue Statistic CriticalValue Prob.**
None* 0.946938 298.7306 197.3709 0.0000
At most1 * 0.804720 198.8967 159.5297 0.0001
At most2* 0.764998 143.3639 125.6154 0.0026
At most3 0.535381 94.12643 95.75366 0.0644
At most4 0.526751 68.06414 69.81889 0.0684
At most5 0.448619 42.62763 47.85613 0.1419
At most6 0.379115 22.38646 29.79707 0.2775
At most7 0.111860 6.181728 15.49471 0.6740
At most8 0.061234 2.148439 3.841466 0.1427
Tracetestindicates3cointegratingeqn(s) atthe0.05level
*denotesrejectionof thehypothesisatthe0.05level
"MacKinnon-Haug-Michelis(1999)p-values
UnrestrictedCointegration Rank Test(MaximumEigenvalue)
Hypothesized Max-Eigen 0.05
No.ofCE(s) Eigenvalue Statistic CriticalValue Prob.**
None* 0.946938 99.83392 58.43354 0.0000
At most 1 * 0.804720 55.53283 52.36261 0.0229
At most2* 0.764998 49.23743 46.23142 0.0232
At most3 0.535381 26.06229 40.07757 0.6982
Atmost4 0.526751 25.43651 33.87687 0.3561
At most5 0.448619 20.24117 27.58434 0.3247
Atmost6 0.379115 16.20474 21.13162 0.2131
At most7 0.111860 4.033288 14.26460 0.8558
Atmost8 0.061234 2.148439 3.841466 0.1427
Max-eigenvaluetestindicates3cointegrating
eqn(s) at the 0.05 level
*denotesrejectionof thehypothesis atthe0.05level
**MacKinnon-Hauq-Michelis(1999)p-values
Annex 9: Parsimonious ECM of the RER of the Gambia anddiagnostic testresults
Dependent Variable:LNRER Method: LeastSquares
Date:01/30/09 Time:20:33
Sample (adjusted): 1971 2006
Included observations:36afteradjustments
Coefficient Std. Error t-Statistic Prob.
c -0.032118 0.168112 -0.191049 0.8499
DLNTOT 1.366280 0.540347 2.528525 0.0174
DLNOPEN 1.348065 0.616269 2.187463 0.0372
DLNIGDP -0.719627 0.332528 -2.164113 0.0391
DUM10 0.030755 0.205537 0.149635 0.8821
LNRER(-1) 1.010128 0.280851 3.596670 0.0012 YG(-1) -0.013120 0.007998 -1.640428 0.1121 ECM(-1) -0.977449 0.332695 -2.937974 0.0065 R-squared 0.648884 Meandependentvar -0.213599 Adjusted R-squared 0.561105 S.D.dependentvar 0.561208 S.E.ofregression 0.371796 Akaikeinfo criterion 1.052185 Sumsquared resid 3.870494 Schwarzcriterion 1.404078 Loglikelihood -10.93932 Hannan-Quinncriter. 1.175005 F-statistic 7.392242 Durbin-Watson stat 2.039447 Prob(F-statistic) 0.000048
Breusch-GodfreySerialCorrelationLM Test:
F-statistic 0.310077 Prob.F(1,27) 0.5822
Obs*R-squared 0.408742 Prob. Chi-Square(l) 0.5226 HeteroskedasticityTest:White
F-statistic 1.164039 Prob.F(7,28) 0.3541
Obs*R-squared 8.114850 Prob.Chi-Square(7) 0.3226
ScaledexplainedSS 5.262200 Prob. Chi-Square(7) 0.6280 RamseyRESET Test:
F-statistic 0.395831 Prob.F(1,27) 0.5345
Log likelihoodratio 0.523943 Prob.Chi-Square(l) 0.4692
-CUSUM 5%Significance]
92 94 96 98 00 02 04 06
| CUSUMofSquares 5%Significance|
Annex 10: ECM of theRERof Ghana anddiagnostictestresults
Dependent Variable: DLNRER Method:LeastSquares
Date: 01/26/09 Time: 17:08 Sample(adjusted): 1972 2006
Included observations:35afteradjustments
Coefficient Std. Error t-Statistic Prob.
c 0.286231 0.127139 2.251325 0.0338
DLNTOT -1.095869 0.303563 -3.610024 0.0014
DLNOPEN 0.540406 0.324781 1.663911 0.1091
DLNGEX 0.867479 0.422931 2.051112 0.0513
YG -0.009229 0.004792 -1.925965 0.0660
DCAPFLO -0.006083 0.003719 -1.635634 0.1150 DLNDC -1.000824 0.278105 -3.598721 0.0014
DLNNER 0.511131 0.231401 2.208851 0.0370
YG(-1) 0.009519 0.004303 2.212117 0.0367 DLNDC(-1) -0.635906 0.301078 -2.112100 0.0453 ECM(-1) -0.815265 0.191852 -4.249443 0.0003 R-squared 0.796868 Meandependentvar -0.062833 Adjusted R-squared 0.712229 S.D.dependentvar 0.420112
S.E. ofregression 0.225366 Akaikeinfocriterion 0.109097 Sumsquared resid 1.218958 Schwarzcriterion 0.597920 Loglikelihood 9.090810 Hannan-Quinncriter. 0.277838 F-statistic 9.414969 Durbin-Watsonstat 1.902683
Prob(F-statistic) 0.000004
Breusch-GodfreySerialCorrelationLMTest:
F-statistic 0.037744 Prob.F(1,23) 0.8477
Obs*R-squared 0.057343 Prob.Chi-Square(l) 0.8107 HeteroskedasticityTest:White
F-statistic 0.278874 Prob.F(10,24) 0.9800
Obs*R-squared 3.643544 Prob.Chi-Square(10) 0.9620
Scaledexplained SS 1.952443 Prob.Chi-Square(10) 0.9967 RamseyRESET Test:
F-statistic 0.320450 Prob. F(1,23) 0.5768
Loglikelihoodratio 0.484275 Prob.Chi-Square(l)
1.4-ï
0.4865
92 94 96 98 00 02 04 06
| CUSUM 5%Significance]
92 94 96 98 00 02 04 06
| CUSUMofSquares 5%Significar
Annex 11: ECM of the RER ofNigeriaand diagnostictestresults
DependentVariable: DLNRER Method: LeastSquares
Date:01/31/09 Time: 12:54
Sample (adjusted): 1972 2006
Included observations:35afteradjustments
Coefficient Std. Error t-Statistic Prob.
c -0.624593 0.146109 -4.274828 0.0003
DLNOPEN 1.836552 0.753434 2.437574 0.0229
YG -0.027219 0.007845 -3.469668 0.0021
DLNIGDP -0.942357 0.445012 -2.117599 0.0452
CAPFLO 0.058621 0.015914 3.683588 0.0012
DLNNER 1.212310 0.332577 3.645205 0.0014
DLNTOT 0.616926 0.327062 1.886267 0.0719
DLNGEX(-1) -1.650099 0.360366 -4.578950 0.0001 YG(-1) -0.016059 0.006101 -2.632074 0.0149 DLNNER(-1) 1.300931 0.358932 3.624455 0.0014
DUM10 -0.916174 0.247167 -3.706699 0.0012
ECM(-2) -0.248340 0.081921 -3.031452 0.0059 R-squared 0.843753 Meandependentvar -0.085676 Adjusted R-squared 0.769026 S.D.dependentvar 0.890864
S.E.ofregression 0.428147 Akaikeinfocriterion 1.407162 Sumsquared resid 4.216136 Schwarzcriterion 1.940424 Loglikelihood -12.62534 Hannan-Quinncriter. 1.591244 F-statistic 11.29113 Durbin-Watsonstat 2.327355 Prob(F-statistic) 0.000001
Breusch-GodfreySerial CorrelationLM Test:
F-statistic 1.027170 Prob. F(1,22) 0.3218
Obs*R-squared 1.561241 Prob.Chi-Square(l) 0.2115 Heteroskedasticity Test:White
F-statistic 1.062561 Prob.F(11,23) 0.4297
Obs*R-squared 11.79324 Prob. Chi-Square(11) 0.3794
ScaledexplainedSS 3.812212 Prob.Chi-Square(11) 0.9751 RamseyRESET Test:
F-statistic 13.99310 Prob.F(1,22) 0.0112
Log likelihoodratio 17.22996 Prob.Chi-Square(l)
1.6-p
0.0203
-CUSUMofSquares
Annex 12: ECM of the RER of Sierra Leone and diagnostictestresults
Dependent Variable: DLNRER Method: LeastSquares
Date:01/26/09 Time: 20:25 Sample (adjusted): 19722006
Included observations:35afteradjustments
Coefficient Std. Error t-Statistic Prob.
c -0.041227 0.996795 -0.041359 0.9673
LNTOT -0.462585 0.159621 -2.898014 0.0077
LNOPEN 0.437851 0.191542 2.285929 0.0310
YG 0.004524 0.003910 1.157029 0.2582
DCAPFLO -0.013568 0.006837 -1.984516 0.0583 DLNRER(-1) 0.433217 0.146334 2.960460 0.0066 LNTOT(-1) 0.520302 0.140541 3.702131 0.0011 LNOPEN(-1) -0.509239 0.187078 -2.722060 0.0116 DLNGEX(-1) -0.713449 0.222357 -3.208572 0.0036 ECM(-1 ) -0.698840 0.166540 -4.196232 0.0003 R-squared 0.672119 Meandependentvar -0.057398 AdjustedR-squared 0.554081 S.D.dependentvar 0.309363 S.E. ofregression 0.206584 Akaikeinfo criterion -0.081266 Sumsquared resid 1.066920 Schwarzcriterion 0.363119 Log likelihood 11.42215 Hannan-Quinncriter. 0.072136 F-statistic 5.694122 Durbin-Watsonstat 2.008844 Prob(F-statistic) 0.000263
Breusch-GodfreySerialCorrelationLMTest:
F-statistic 0.102189 Prob.F(1,24) 0.7520
Obs*R-squared 0.148394 Prob.Chi-Square(l) 0.7001 HeteroskedasticityTest:White
F-statistic 0.632203 Prob.F(9,25) 0.7589
Obs*R-squared 6.488927 Prob. Chi-Square(9) 0.6902 Scaledexplained SS 4.061017 Prob.Chi-Square(9) 0.9074 RamseyRESETTest:
F-statistic 8.755814 Prob.F(1,24) 0.0681
Log likelihood ratio 10.88593 Prob. Chi-Square(l) 0.0120
5'88'90'92'94'96'98 00 02 04 06
| CUSUM 5%Significance|
82'84'86'88'90 92 94 96 98 00 02 04 06
| CUSUMof Squares 5%Significance|
Annex 13: RealExchangerateMisalignment intheGambia
Period ARER ERER Misalignment
1970 1.7402 1.5909 9.3842 Undervaluation 1971 1.2421 1.5498 -19.8562 Overvaluation 1972 1.5643 1.5096 3.6182
1973 2.9265 1.4684 99.3067 1974 4.1971 1.4242 194.6945
1975 1.5288 1.3769 11.0276 Undervaluation 1976 0.3924 1.3277 -70.4486 Overvaluation 1977 1.3911 1.2796 8.7113 Undervaluation 1978 0.6631 1.2334 -46.2373
1979 0.9438 1.1870 -20.4855
1980 1.1264 1.1354 -0.7919 Overvaluation 1981 1.1895 1.0757 10.5770 Undervaluation 1982 0.8966 1.0096 -11.1936 Overvaluation 1983 1.1152 0.9415 18.4493
1984 1.0130 0.8763 15.6036 Undervaluation 1985 0.7187 0.8179 -12.1227 Overvaluation 1986 0.9738 0.7692 26.6075
1987 0.7968 0.7295 9.2201 1988 0.9430 0.6976 35.1730
1989 0.8260 0.6727 22.7896 Undervaluation 1990 0.6195 0.6540 -5.2836 Overvaluation 1991 0.8360 0.6407 30.4831
1992 0.6981 0.6317 10.5189 Undervaluation 1993 0.6083 0.6258 -2.7967 Overvaluation 1994 0.9488 0.6219 52.5597
1995 0.7773 0.6191 25.5492 Undervaluation 1996 0.5764 0.6164 -6.4855
1997 0.4067 0.6129 -33.6418 Overvaluation 1998 1.0321 0.6083 69.6801 Undervaluation 1999 0.3651 0.6019 -39.3435
2000 0.2636 0.5935 -55.5775 2001 0.3771 0.5826 -35.2702 2002 0.4549 0.5693 -20.0958
2003 0.4903 0.5541 -11.5210 Overvaluation 2004 0.5516 0.5379 2.5582
2005 0.5356 0.5214 2.7300
Undervaluation 2006 0.6635 0.5052 31.3392
Annex 14: Real ExchangerateMisalignmentin Ghana
Period ARER ERER Misalignment
1970 0.0222 0.0148 50.0545
Annex 15: RealExchangerateMisalignment in Nigeria
Period ARER ERER Misalignment
1970 31.3409 52.4300 -40.2233 1971 26.0186 42.6115 -38.9399 1972 22.5879 34.5587 -34.6391
1973 24.4013 27.9761 -12.7780 Overvaluation 1974 23.8693 22.6215 5.5160 Undervaluation 1975 16.1760 18.3335 -11.7682
1976 11.9300 14.9743 -20.3302 1977 11.7248 12.3664 -5.1885
1978 10.0906 10.4228 -3.1872 Overvaluation 1979 9.2975 9.0385 2.8656
1980 8.4106 8.0851 4.0266 Undervaluation 1981 5.4401 7.4685 -27.1585
1982 4.6646 7.1512 -34.7727 1983 4.4275 7.1109 -37.7372 1984 5.4763 7.3415 -25.4057 1985 6.6275 7.8402 -15.4679
1986 8.0193 8.6017 -6.7711 Overvaluation 1987 25.3043 9.5775 164.2056
1994 112.1715 7.5380 1388.0885 Undervaluation 1995 2.7303 6.2681 -56.4412
2006 1.2971 4.1779 -68.9526 Overvaluation
Annex 16: Real ExchangerateMisalignment in Sierra Leone
1992 50.4446 52.0067 -3.0036 Overvaluation 1993 49.7613 47.9706 3.7329 Undervaluation 1994 35.5562 44.4647 -20.0351
2005 48.3674 40.2938 20.0369 Undervaluation 2006 34.0214 39.9026 -14.7389 Overvaluation
Annex 17: Datasources anddescription
Variable Symbol Description Source
Nominal
Exchange
Rate
NER (e) PeriodAverageof theprice
ofoneU.S dollar in local currency
International Financial Statistic (IFS) CD-ROM
Nominal Income
GDP Gross Domestic Productat Current Market Price
RGDP Nominal Income dividedby
theconsumerpriceindex
Calculatedby author
Output
Growth
Yg PercentageChange in Real
Gross Domestic Product
X TotalExport InternationalFinancial
Statistics CD-ROM
Aggregate Import
M TotalImport InternationalFinancial
Statistics CD-ROM Domestic
Credit
DC The sumofNetDomestic Credittothegovernment and
domestic Credittothe
CAPFLO Calculated asnetchange in
reserveminus tradebalance,
OPEN Calculated asthesumof ExportandImport, Scaled by
GDP
Px ExportUnit Value WorldDevelopment
Indicators Price of
Import
pm ImportUnitValue WorldDevelopment
Indicators Terms of
Trade
TOT Calculatedas theratioprice
ofexport toprice ofimport
Calculatedby author
Annex 18:Major trading (Export) Partners inthe WAMZ
Gambia: India35.4%, China 16.4%, UK 8.1%,Indonesia7.6%, France 4.7%(2007)
Ghana: Netherlands 11%, UK 9.1%, France 6.3%, US 6%, Germany 4.6%, Belgium
4.4% (2007)
Nigeria: US 51.1%,Brazil 7.9%, Spain7.6% (2007)
Sierra Leone: Belgium 49.5%,US 20.6%, Netherlands4.6%, Canada 4%(2007)