04865oam 22010214 450 991078648020332120230801225347.01-4755-1693-21-4755-5826-0(CKB)2670000000278812(EBL)1606950(SSID)ssj0000952597(PQKBManifestationID)11510985(PQKBTitleCode)TC0000952597(PQKBWorkID)10903516(PQKB)10139581(MiAaPQ)EBC1606950(Au-PeEL)EBL1606950(CaPaEBR)ebr10627033(OCoLC)808030749(IMF)WPIEE2012208(IMF)WPIEA2012208(EXLCZ)99267000000027881220020129d2012 uf 0engurcn|||||||||txtccrExchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters /Alun ThomasWashington, D.C. :International Monetary Fund,2012.1 online resource (22 p.)IMF Working PapersDescription based upon print version of record.1-4755-8647-7 1-4755-0558-2 Includes bibliographical references.Cover; Abstract; Contents; I. Introduction; II. Empirical Model and Data Description; A. Model; B. Data Description; Tables; 1. Measures of Capital Account Openness; III. Regression Analysis; A. Stationarity Tests; Figures; 1. Interest Rates (in percent) and the Nominal Exchange Rate (2007=100); 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; Regression Analysis; 5. Determinants of the Change in the Bilateral Exchange Rate Against U.S. dollar6. Determinants of the Change in the Nominal Effective Exchange Rate IV. Robustness and Diagnostic Checks; A. Robustness; 7. Determinants of Bilateral U.S. Dollar Exchange Rate Change-Robustness Checks; B. Diagnostic Checks; 8. Out of sample Forecasts: One Month Ahead; V. Conclusion; ReferencesThe 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.IMF Working Papers; Working Paper ;No. 2012/208Foreign exchange ratesaAfrica, Sub-SaharanInterest ratesaAfrica, Sub-SaharanExports and ImportsimfForeign ExchangeimfInvestments: GeneralimfGeneral Financial Markets: General (includes Measurement and Data)imfCurrent Account AdjustmentimfShort-term Capital MovementsimfCurrencyimfForeign exchangeimfInvestment & securitiesimfInternational economicsimfExchange ratesimfNominal effective exchange rateimfTreasury bills and bondsimfCapital accountimfExchange rate adjustmentsimfFinancial institutionsimfBalance of paymentsimfGovernment securitiesimfSouth AfricaimfForeign exchange ratesInterest ratesExports and ImportsForeign ExchangeInvestments: GeneralGeneral Financial Markets: General (includes Measurement and Data)Current Account AdjustmentShort-term Capital MovementsCurrencyForeign exchangeInvestment & securitiesInternational economicsExchange ratesNominal effective exchange rateTreasury bills and bondsCapital accountExchange rate adjustmentsFinancial institutionsBalance of paymentsGovernment securitiesThomas Alun1098448DcWaIMFBOOK9910786480203321Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters3858189UNINA