Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters.

By: Thomas, Alun HMaterial type: TextTextSeries: IMF Working PapersPublisher: Washington DC : International Monetary Fund, 2012Copyright date: ©2012Description: 1 online resource (22 pages)Content type: text Media type: computer Carrier type: online resourceISBN: 9781475558265Subject(s): Foreign exchange rates -- aAfrica, Sub-Saharan | Interest rates -- aAfrica, Sub-SaharanGenre/Form: Electronic books.Additional physical formats: Print version:: Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa FloatersDDC classification: 332.152 LOC classification: HG3982 -- .T46 2012ebOnline resources: Click to View
Contents:
Cover -- Contents -- Abstract -- I. Introduction -- II. Empirical Model and Data Description -- A. Model -- B. Data Description -- III. Regression Analysis -- A. Stationarity Tests -- Regression Analysis -- IV. Robustness and Diagnostic Checks -- A. Robustness -- B. Diagnostic Checks -- V. Conclusion -- Tables -- 1. Measures of Capital Account Openness -- 2. Augmented Dickey-Fuller Test Statistics -- 3. South Africa: Johansen Cointegration Trace Test Statistics and Cointegrating Vector -- 4. Pedroni Residual Test Statistics for Panel Data Estimation -- 5. Determinants of the Change in the Bilateral Exchange Rate Against U.S. dollar -- 6. Determinants of the Change in the Nominal Effective Exchange Rate -- 7. Determinants of Bilateral U.S. Dollar Exchange Rate Change-Robustness Checks -- 8. Out of sample Forecasts: One Month Ahead -- Figures -- 1. Interest Rates (in percent) and the Nominal Exchange Rate (2007=100) -- References.
Summary: The paper considers the determinants of exchange rate movements among sub-Saharan countries that have flexible exchange rate regimes. The determinants are based on the law of one price and interest parity conditions. Results indicate that the exchange rates have responded significantly to changes in the US Treasury bill rate and to the EMBI spread in recent years. The effects are more important for countries with open capital accounts. On the other hand the paper does not provide any support for the interest rate parity theory because domestic interest rates have no bearing on exchange rate movements.
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Cover -- Contents -- Abstract -- I. Introduction -- II. Empirical Model and Data Description -- A. Model -- B. Data Description -- III. Regression Analysis -- A. Stationarity Tests -- Regression Analysis -- IV. Robustness and Diagnostic Checks -- A. Robustness -- B. Diagnostic Checks -- V. Conclusion -- Tables -- 1. Measures of Capital Account Openness -- 2. Augmented Dickey-Fuller Test Statistics -- 3. South Africa: Johansen Cointegration Trace Test Statistics and Cointegrating Vector -- 4. Pedroni Residual Test Statistics for Panel Data Estimation -- 5. Determinants of the Change in the Bilateral Exchange Rate Against U.S. dollar -- 6. Determinants of the Change in the Nominal Effective Exchange Rate -- 7. Determinants of Bilateral U.S. Dollar Exchange Rate Change-Robustness Checks -- 8. Out of sample Forecasts: One Month Ahead -- Figures -- 1. Interest Rates (in percent) and the Nominal Exchange Rate (2007=100) -- References.

The paper considers the determinants of exchange rate movements among sub-Saharan countries that have flexible exchange rate regimes. The determinants are based on the law of one price and interest parity conditions. Results indicate that the exchange rates have responded significantly to changes in the US Treasury bill rate and to the EMBI spread in recent years. The effects are more important for countries with open capital accounts. On the other hand the paper does not provide any support for the interest rate parity theory because domestic interest rates have no bearing on exchange rate movements.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2018. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

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