Detalle Publicación

Are central bank policy rates in Africa cointegrated? Evidence from a fractional cointegration approach

Autores: Gil Alaña, Luis Alberiko (Autor de correspondencia); Mudida, R. ; Abakah, E. J. A.
Título de la revista: APPLIED ECONOMICS
ISSN: 0003-6846
Volumen: 52
Número: 57
Páginas: 6171 - 6182
Fecha de publicación: 2020
We analyse bilateral linkages between Central Bank Policy Rates in Africa and the US, the UK, Japan, Canada, China and the Eurozone using fractional integration and cointegration. Univariate analysis documents evidence of higher than 1 integration for the African countries. For the developed countries, the orders of integration are also above 1 in all markets except for Japan. On bivariate relationships among the countries, we find evidence of cointegration in a number of cases. The article reinforces the view that it will be difficult for many African countries to pursue independent monetary policies that do not consider global policy rate developments.