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We would like to thank the participants of an African Department seminar in July 2001, where a preliminary version of this paper was presented, for their valuable comments, and in particular John Cady, Francesco Caramazza and Jean-Claude Nachega.
Certain opportunity cost variables, such as past inflation and past changes in the exchange rate, which can be taken as proxies for expected inflation and expected appreciation, have not been included. They appear to be stationary and thus would not affect whether a group of nonstationary variables are cointegrated or not. In fact, the standard critical values for the Johansen tests are supplied assuming that in general only nonstationary variables are included in the cointegrating vector.