Determinants of Angola’s Parallel Market Real Exchange Rate

ByJun Nagayasu, Enrique A Gelbard

July 1, 1999

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

The paper estimates Angola’s equilibrium parallel market real exchange rate during the 1992–98 period. Using standard integration/co-integration techniques, the results fail to support the purchasing power parity hypothesis and indicate that two exogenous variables—the price of oil and the foreign interest rate—are able to explain most of the variation in the real exchange rate during the last seven years. These results contrast with the tenet that the parallel market exchange rate in Angola is solely influenced by monetary developments.

Subject: Exchange rate assessments, Exchange rates, Foreign exchange, Multiple currency practices, Purchasing power parity, Real exchange rates

Keywords: adjustment coefficient, co-integration, Exchange rate assessments, exchange rate specification, Exchange rates, market rate, Multiple currency practices, PPP hypothesis, price level, Purchasing power parity, real exchange rates, time-series properties, world interest rate, WP

Pages:
14
Volume:
1999
DOI:
https://doi.org/10.5089/9781451851373.001
Issue:
090
Series:
Working Paper No. 1999/090
Stock No:
WPIEA0901999
ISBN:
9781451851373
ISSN:
1018-5941

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