INTEREST RATE PREDICTABILITY IN SOME SELECTED AFRICAN COUNTRIES
This study tries to verify the predictive power of the implicit forward rate of the term structure of interest rates in Africa. We used data from Egypt, Ghana, Kenya, Nigeria and the Republic of South Africa. A modified version of the yield term premium and the forward term premium models of Shiller...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Nicolaus Copernicus University in Toruń
2021-02-01
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| Series: | Copernican Journal of Finance & Accounting |
| Subjects: | |
| Online Access: | https://apcz.umk.pl/CJFA/article/view/33342 |
| _version_ | 1797721445552357376 |
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| author | Hans Patrick Bidias-Menik Simplice Gaël Tonmo |
| author_facet | Hans Patrick Bidias-Menik Simplice Gaël Tonmo |
| author_sort | Hans Patrick Bidias-Menik |
| collection | DOAJ |
| description | This study tries to verify the predictive power of the implicit forward rate of the term structure of interest rates in Africa. We used data from Egypt, Ghana, Kenya, Nigeria and the Republic of South Africa. A modified version of the yield term premium and the forward term premium models of Shiller and McCulloch (1990) were used to test the predictive power of the implicit forward rate, rather than the rational expectations hypothesis. We both used FMOLS and DOLS estimators, since they are more consistent than OLS with non-stationary series. The overall results show that the implicit forward rate does not have a significant predictive power in Africa. It therefore appears that operators on African markets should not rely on those predictions. |
| first_indexed | 2024-03-12T09:33:25Z |
| format | Article |
| id | doaj.art-bcc2b2b0bd4244faaf4817ef334c8684 |
| institution | Directory Open Access Journal |
| issn | 2300-1240 2300-3065 |
| language | English |
| last_indexed | 2024-03-12T09:33:25Z |
| publishDate | 2021-02-01 |
| publisher | Nicolaus Copernicus University in Toruń |
| record_format | Article |
| series | Copernican Journal of Finance & Accounting |
| spelling | doaj.art-bcc2b2b0bd4244faaf4817ef334c86842023-09-02T13:52:10ZengNicolaus Copernicus University in ToruńCopernican Journal of Finance & Accounting2300-12402300-30652021-02-0193INTEREST RATE PREDICTABILITY IN SOME SELECTED AFRICAN COUNTRIESHans Patrick Bidias-Menik0Simplice Gaël Tonmo1University of DschangUniversity of DschangThis study tries to verify the predictive power of the implicit forward rate of the term structure of interest rates in Africa. We used data from Egypt, Ghana, Kenya, Nigeria and the Republic of South Africa. A modified version of the yield term premium and the forward term premium models of Shiller and McCulloch (1990) were used to test the predictive power of the implicit forward rate, rather than the rational expectations hypothesis. We both used FMOLS and DOLS estimators, since they are more consistent than OLS with non-stationary series. The overall results show that the implicit forward rate does not have a significant predictive power in Africa. It therefore appears that operators on African markets should not rely on those predictions.https://apcz.umk.pl/CJFA/article/view/33342interest rates predictabilityexpectation hypothesisterm structure of interest ratesAfrican markets |
| spellingShingle | Hans Patrick Bidias-Menik Simplice Gaël Tonmo INTEREST RATE PREDICTABILITY IN SOME SELECTED AFRICAN COUNTRIES Copernican Journal of Finance & Accounting interest rates predictability expectation hypothesis term structure of interest rates African markets |
| title | INTEREST RATE PREDICTABILITY IN SOME SELECTED AFRICAN COUNTRIES |
| title_full | INTEREST RATE PREDICTABILITY IN SOME SELECTED AFRICAN COUNTRIES |
| title_fullStr | INTEREST RATE PREDICTABILITY IN SOME SELECTED AFRICAN COUNTRIES |
| title_full_unstemmed | INTEREST RATE PREDICTABILITY IN SOME SELECTED AFRICAN COUNTRIES |
| title_short | INTEREST RATE PREDICTABILITY IN SOME SELECTED AFRICAN COUNTRIES |
| title_sort | interest rate predictability in some selected african countries |
| topic | interest rates predictability expectation hypothesis term structure of interest rates African markets |
| url | https://apcz.umk.pl/CJFA/article/view/33342 |
| work_keys_str_mv | AT hanspatrickbidiasmenik interestratepredictabilityinsomeselectedafricancountries AT simplicegaeltonmo interestratepredictabilityinsomeselectedafricancountries |