Modeling Exchange rate -interest rate differential nexus in BRICS: The role asymmetry and structural breaks

Autores/as

  • Zainab Sani Central Bank of Nigeria
  • Afees Adebare Salisu Ton Duc Thang University
  • Eucharia Onyia Central Bank of Nigeria
  • Onyebuchi Anih Central Bank of Nigeria
  • Lawrence Kanu Central Bank of Nigeria

DOI:

https://doi.org/10.17811/ebl.9.2.2020.73-83

Resumen

This paper validates, with a linear model, the theoretical construction that specifies negative relationship between interest rate differential and exchange rate in the BRICS countries. Further probe with a nonlinear model reveals that exchange rate responds asymmetrically to interest rate differential in the countries. In all, we show that accounting for asymmetry and structural breaks enhance the relationship.

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Publicado

2020-03-11

Cómo citar

Sani, Z., Salisu, A. A., Onyia, E., Anih, O., & Kanu, L. (2020). Modeling Exchange rate -interest rate differential nexus in BRICS: The role asymmetry and structural breaks. Economics and Business Letters, 9(2), 73–83. https://doi.org/10.17811/ebl.9.2.2020.73-83

Número

Vol. 9 Núm. 2 (2020): June

Sección

Artículos

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