The study investigates new evidence relating to the characteristics of real exchange rate shocks in the Common Market for Eastern and Southern Africa economies during the 1990-2009 periods. Specifically, the study focuses on the variability of the real exchange rates, symmetry and persistence of shocks in each of the individual member countries. The estimates indicate that variability of real exchange rate disturbances is comparable among most of the countries. However, the study finds that real exchange rate shocks are asymmetric for most of the countries. Both the short-run and long-run analyses reveal that there are tendencies of persistence of real exchange rate fluctuations overtime. Nonetheless, the persistence of shocks seems to have disappeared during the 2000-2009 period, particularly in the long-run.