This study uses threshold cointegration technique to ascertain the relationship between United States (US) economic policy uncertainty (EPU) and monetary policy rate (MPR) of each of the four African countries, namely Egypt, Ghana, Namibia and South Africa using monthly data from March 1998 to April 2020. The impact of US EPU on MPR of each country is assessed by examining the linear cointegration, asymmetric cointegration and causal relationships in the frequency domain between the US EPU and MPR of each African country. The findings provide evidence of long-run threshold cointegration and the adjustment mechanisms towards long-run equilibrium are asymmetric in the short run for the MPR models for Ghana, Namibia and South Africa in the M-TAR specification except for Egypt’s MPR model which does not provide evidence of asymmetric adjustment towards the equilibrium position. The bivariate analysis performed in the spectral frequency domain suggests unidirectional causality between US EPU and MPR of each country and that, the US EPU influences the MPR of each country in the long run. The findings provide important guidelines to monetary policy reviewers to take policy stance that would stimulate economic growth amid US policy uncertainties.

中文翻译：

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评估美国经济政策不确定性对非洲国家货币政策决策影响的阈值协整方法

本研究使用阈值协整技术来确定美国 (US) 经济政策不确定性 (EPU) 与四个非洲国家的货币政策利率 (MPR) 之间的关系，即埃及、加纳、纳米比亚和南非。 1998 年 3 月至 2020 年 4 月。美国 EPU 对每个国家 MPR 的影响通过检查美国 EPU 和每个非洲国家 MPR 在频域中的线性协整、不对称协整和因果关系来评估。研究结果提供了长期阈值协整的证据，并且在短期内，加纳 MPR 模型的长期均衡调整机制是不对称的，M-TAR 规范中的纳米比亚和南非，但埃及的 MPR 模型没有提供对平衡位置进行不对称调整的证据。在频谱频域中进行的双变量分析表明，美国 EPU 和每个国家的 MPR 之间存在单向因果关系，并且从长远来看，美国 EPU 会影响每个国家的 MPR。调查结果为货币政策审查人员在美国政策不确定的情况下采取刺激经济增长的政策立场提供了重要指导。