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

Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters »

Source: Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters

Volume/Issue: 2012/208

Series: IMF Working Papers

Author(s): Alun Thomas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505580

Keywords: Exchange Rate, Interest Rate, nominal exchange rate, effective exchange rate, nominal effective exchange rate,

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 condition...

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated »

Source: Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated

Volume/Issue: 2007/141

Series: IMF Working Papers

Author(s): Pär Österholm , and Erik Hjalmarsson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

ISBN: 9781451867053

Keywords: cointegration, inflation, nominal interest rate, equation, nominal interest rates, Near-unit-roots, Spurious Rejection, Monte Carlo Simulations,

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we...

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

Exchange Rate and Foreign Interest Rate Linkages for Sub-Saharan Africa Floaters »

Volume/Issue: 2012/208

Series: IMF Working Papers

Author(s): Alun Thomas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

DOI: http://dx.doi.org/10.5089/9781475505580.001

ISBN: 9781475505580

Keywords: Exchange Rate, Interest Rate, nominal exchange rate, effective exchange rate, nominal effective exchange rate,

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 condition...

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated »

Volume/Issue: 2007/141

Series: IMF Working Papers

Author(s): Pär Österholm , and Erik Hjalmarsson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

DOI: http://dx.doi.org/10.5089/9781451867053.001

ISBN: 9781451867053

Keywords: cointegration, inflation, nominal interest rate, equation, nominal interest rates, Near-unit-roots, Spurious Rejection, Monte Carlo Simulations,

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we...