Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters
IMF Working Papers, August 1, 2012
Source details
- Canonical URL
- Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters
Other formats
Bibliographic details
- Authors: Alun H. Thomas
- Published: August 1, 2012
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781475505580.001
Scope and approach
- Considers determinants of exchange rate movements among sub-Saharan countries with flexible exchange rate regimes.
- Determinants are based on the law of one price and interest parity conditions.
Key findings
- Exchange rates have responded significantly to changes in the US Treasury bill rate.
- Exchange rates have responded significantly to changes in the EMBI spread in recent years.
- The effects of US Treasury bill rate and EMBI spread changes are more important for countries with open capital accounts.
- The paper does not provide any support for the interest rate parity theory because domestic interest rates have no bearing on exchange rate movements.
Subjects and keywords (as stated in the paper)
- Subjects: Balance of payments, Capital account, Exchange rate adjustments, Exchange rates, Financial institutions, Foreign exchange, Nominal effective exchange rate, Treasury bills and bonds
- Keywords: Africa, Capital account, Change-Robustness check, change-Robustness Checks, determination Dornbusch, EMBI interest rate, exchange rate, Exchange rate adjustments, exchange rate movement, Exchange rates, Interest Parity, Interest Rate, interest rate differential, Nominal effective exchange rate, Sub-Saharan Africa, Treasury bills and bonds, WP