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Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters / / Alun Thomas



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Autore: Thomas Alun Visualizza persona
Titolo: Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters / / Alun Thomas Visualizza cluster
Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2012
Descrizione fisica: 1 online resource (22 p.)
Soggetto topico: Foreign exchange rates - aAfrica, Sub-Saharan
Interest rates - aAfrica, Sub-Saharan
Exports and Imports
Foreign Exchange
Investments: General
General Financial Markets: General (includes Measurement and Data)
Current Account Adjustment
Short-term Capital Movements
Currency
Foreign exchange
Investment & securities
International economics
Exchange rates
Nominal effective exchange rate
Treasury bills and bonds
Capital account
Exchange rate adjustments
Financial institutions
Balance of payments
Government securities
Soggetto geografico: South Africa
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: 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. dollar
6. 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; References
Sommario/riassunto: 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.
Titolo autorizzato: Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters  Visualizza cluster
ISBN: 1-4755-1693-2
1-4755-5826-0
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910786480203321
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Serie: IMF Working Papers; Working Paper ; ; No. 2012/208