05048oam 22011054 450 991096174960332120250426110140.09781475516937147551693297814755582651475558260(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)WPIEA2012208WPIEA2012208(EXLCZ)99267000000027881220020129d2012 uf 0engurcn|||||||||txtccrExchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters /Alun Thomas1st ed.Washington, D.C. :International Monetary Fund,2012.1 online resource (22 p.)IMF Working PapersDescription based upon print version of record.9781475586473 1475586477 9781475505580 1475505582 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-SaharanBalance of paymentsimfCapital accountimfCurrencyimfCurrent Account AdjustmentimfExchange rate adjustmentsimfExchange ratesimfExports and ImportsimfFinancial institutionsimfForeign ExchangeimfForeign exchangeimfGeneral Financial Markets: General (includes Measurement and Data)imfGovernment securitiesimfInternational economicsimfInvestment & securitiesimfInvestments: GeneralimfNominal effective exchange rateimfShort-term Capital MovementsimfTreasury bills and bondsimfSouth AfricaimfForeign exchange ratesInterest ratesBalance of paymentsCapital accountCurrencyCurrent Account AdjustmentExchange rate adjustmentsExchange ratesExports and ImportsFinancial institutionsForeign ExchangeForeign exchangeGeneral Financial Markets: General (includes Measurement and Data)Government securitiesInternational economicsInvestment & securitiesInvestments: GeneralNominal effective exchange rateShort-term Capital MovementsTreasury bills and bonds332.152Thomas Alun1098448DcWaIMFBOOK9910961749603321Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters4372861UNINA