03419nam 2200625Ia 450 991080817960332120200520144314.01-4755-1693-21-4755-5826-0(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)99267000000027881220111102d2012 uy 0engurcn|||||||||txtccrExchange rate and foreign interest rate linkages for Sub-Saharan Africa floaters /prepared by Alun H. Thomas1st ed.Washington, DC International Monetary Fund20121 online resource (22 p.)IMF working paper ;12/208Description 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-SaharanForeign exchange ratesInterest rates332.152Thomas Alun H(Alun Huw)1756209MiAaPQMiAaPQMiAaPQBOOK9910808179603321Exchange rate and foreign interest rate linkages for Sub-Saharan Africa floaters4203006UNINA