An Empirical Test of the Relationship between Exchange Rate, Interest Rate and Inflation in Five African Countries from 1980 To 2012
Keywords:
fixed effect; random effect; pooled data; panel cointegration; african countries
Abstract
The study examines the empirical relationship between exchange rate, interest rate and inflation in the context of Sub -Sahara African countries using panel data over 1980-2012 periods. The estimated values of the pooled, fixed and random effects models reveal identical results that interest rate and inflation maintain a monotonous relationship with the exchange rate, though the relationship is insignificant for interest rote only in the random effect model based on 1% level of significance. However; the result of the Hausman Test shows that the random effect model is not appropriate rather, the fixed-effect model is preferred. Based, on the Johansen Fisher panel co integration approach, a long-run relationship is established among the specified variables. Finally, it was discovered that the interest rate is weakly exogenously determined in the selected-countries throughout the freely and managed floating exchange rate systems.
Downloads
- Article PDF
- TEI XML Kaleidoscope (download in zip)* (Beta by AI)
- Lens* NISO JATS XML (Beta by AI)
- HTML Kaleidoscope* (Beta by AI)
- DBK XML Kaleidoscope (download in zip)* (Beta by AI)
- LaTeX pdf Kaleidoscope* (Beta by AI)
- EPUB Kaleidoscope* (Beta by AI)
- MD Kaleidoscope* (Beta by AI)
- FO Kaleidoscope* (Beta by AI)
- BIB Kaleidoscope* (Beta by AI)
- LaTeX Kaleidoscope* (Beta by AI)
How to Cite
References
G Ackley (1958) A third Approach to the Analysis and control of inflation.
F Adetiloye, W Kehinde, Adekunle (2010) Empirical relationship between the consumer price index and exchange rate in Nigeria. 24(2), 36-48.
E Akinnifesi (1962) Credit Ceilings, Absorptive Capacity and Inflation in Nigeria.
R Dornbush, S Fischer (1990) Exchange rates and the current account the. 70(5), 960-971.
Duesenberrry (1950) The Mechanics of Inflation. 32(2), 144.
Robert Engle, C Granger (1917) Co-Integration and Error Correction: Representation, Estimation, and Testing. 55(2), 251.
Robert Engle (1982) Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. 50(4), 987.
M Friedman (1968) The role of monetary policy American Economic Review (1968) 58, March, pp. 1-17. 58, 176-191.
Milton Friedman (1977) Nobel Lecture: Inflation and Unemployment. 85(3), 451-472.
G Gosnami (2012) Stock market and economic forces: an empirical analysis.
S Hergerty (2011) Interest-rate volatility and volatility spillovers in emerging Europe. 25(5), 599-614.
Franklyn Holzman (1958) Income Determination in Open Inflation. 32(2), 150.
International Monetary Fund (2012) Peru: Report on the Statistics Technical Assistance and Training Evaluation Mission (December 12: 16, 2011). 12(233), 1.
Imf (2012) World Economic Outline Database.
A Kanas (2000) Volatility Spillovers between stock returns and exchange rate changes: International evidence. 27(3).
G Keminsky, S Schumulkler (1998) The relationship between interest rates and exchange rates in six Asian countries.
A Lahiri, V Hantrovaska, A Vegh (1989) The effect of Money supply on the exchange rate in the inflationary process of twenty-three African Countries. 15, 366-380.
Fritz Machlup (1960) Another View of Cost-Push and Demand-Pull Inflation. 42(2), 125.
Chatchaya Lertpiyatas (1993) Foreign exchange rate risk and Thai stock market. 134(4), 124-142.
G Omotor (2008) Exchange Rate Reform and its Inflationary Consequences: The Case of Nigeria. 59(11), 688-716.
M Rahman, M Hossain (2003) Exchange Rate and Investment in the Manufacturing Sector of Bangladesh. 29(1&2), 111-124.
A Razak, D N Simon (1999) Nominal Exchange Rates and Nominal Interest Rate Differentials. (29), 111-124.
(2012) Statistical Bulletin.
David Ricardo (1821) Extract from On the Principles of Political Economy and Taxation, London, 1817, pp. 156-185. 175-204.
S Hegerty (2012) Does high inflation lead to increased inflation uncertainty? Evidence from Nine African Countries. 10(2).
Hazel Price (1959) Study of the Economic Factors Affecting Labor Mobility in the United States from 1950 Through 01/01/1959.
N Sowa, J Kwakye (1991) Chapter 6 Comparative Advantage: Women in Trade in Accra, Ghana, and Nairobi, Kenya. 99-120.
M Wellington, C Claines, Z James (2012) Inter-American Development Bank Quarterly Business Review: First Quarter 2012. 9(1).
Published
2020-11-18
Issue
Section
License
Copyright (c) 2020 Authors and Global Journals Private Limited
This work is licensed under a Creative Commons Attribution 4.0 International License.