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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Real interest rate parity and two structural breaks: African countries evidence
Authors:Su, Chi-Wei
Chang, Hsu-Ling
Liu, Yan
Year:2013
Periodical:African Development Review (ISSN 1467-8268)
Volume:25
Issue:4
Pages:478-484
Language:English
Geographic terms:Africa
South Africa
Subject:interest rates
External link:https://onlinelibrary.wiley.com/doi/10.1111/1467-8268.12043/pdf
Abstract:This study applies P.K. Narayan and S. Popp's (2010) unit-root test with two endogenous breaks to assess the validity of long-run real interest rate parity (RIRP) via investigating the non-stationary properties of the real interest rate convergence relative to South Africa for ten African countries. This method has been proven to be more powerful than the other unit root models with two breaks (Narayan and Popp, 2013). The authors' findings clearly indicate that RIRP holds true for five countries, which implies that the choices and effectiveness of the monetary and fiscal policies in the African economies will be highly influenced by external factors originating from South Africa. The results have important policy implications for the African countries under study (Algeria, Botswana, Ivory Coast, Egypt, Mauritius, Morocco, Nigeria, Zambia, Tunisia and Uganda). Bibliogr., note, ref., sum. [Journal abstract]
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