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

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  • Luis Alberiko Gil-Alana
  • Robert Mudida
  • Emmanuel Joel Aikins Abakah

Abstract

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.

Suggested Citation

  • Luis Alberiko Gil-Alana & Robert Mudida & Emmanuel Joel Aikins Abakah, 2020. "Are central bank policy rates in Africa cointegrated? Evidence from a fractional cointegration approach," Applied Economics, Taylor & Francis Journals, vol. 52(57), pages 6171-6182, December.
    • Handle: RePEc:taf:applec:v:52:y:2020:i:57:p:6171-6182
    DOI: 10.1080/00036846.2020.1785619
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    Cited by:

    1. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    2. Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).

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