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Are interest rates unit root in Ghana? An Empirical Assessment

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  • ASUAMAH YEBOAH, SAMUEL

Abstract

The paper examines the hypothesis of unit roots in interest rates [Proxied by Treasury bill-T-bill- rates (91-day T-bill rate, 182-day T-bill rate, and 1-year T-bill rate] for Ghana for the period 2007 to 2013, using monthly data. The test was performed by employing the Augmented Dickey-Fuller (ADF) test and the Kwiatkwski, Phillips, Schmidt and shin (KPSS). The results of the tests indicate T-bill rates have unit root in levels supporting the unit root hypothesis for Ghana.

Suggested Citation

  • Asuamah Yeboah, Samuel, 2017. "Are interest rates unit root in Ghana? An Empirical Assessment," MPRA Paper 99420, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:99420
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    File URL: https://mpra.ub.uni-muenchen.de/99420/1/MPRA_paper_99420.pdf
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    References listed on IDEAS

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    1. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2013. "Nominal interest rates and stationarity," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 741-745, May.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    3. Tanweer Akram & Huiqing Li, 2016. "The Empirics of Long-Term US Interest Rates," Economics Working Paper Archive wp_863, Levy Economics Institute.
    4. Yu Hsing, 2015. "Determinants of the Government Bond Yield in Spain: A Loanable Funds Model," IJFS, MDPI, vol. 3(3), pages 1-9, July.
    5. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.
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    More about this item

    Keywords

    Treasury bill rate; Interest rate; Unit Root;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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