Exchange rate and manufacturing sector performance in SACU states

Figures & data

Table

Variable symbol	Variable definition	Apriori Sign	Source of data
INT	Real interest rate is the lending interest rate adjusted for inflation as measured by the GDP deflator. (Chikezie, 2015.	-	World Bank development Indicators
IMP	Imports of goods and services comprise all transactions between residents of a country and the rest of the world (Morris and Einhorn, 2008 cited in Edwards and Jenkins, 2013 and Bhorat, 2017)	-	World Bank development Indicators
FDI	Foreign direct investment are the net inflows of investment to acquire a lasting management interest (10 percent or more of voting stock) in an enterprise operating in an economy other than that of the investor. (Emmanuel (2016) and Pulstova (2016)	+	World Bank development Indicators
EXP	Exports of goods and services represent the value of all goods and other market services provided to the rest of the world Kucera et al. (2012:1126) as cited in Malan and Steenkamp (2015)	+	World Bank Development indicators
EXCH	Official exchange rate refers to the exchange rate determined by national authorities or to the rate determined in the legally sanctioned exchange market. It is calculated as an annual average based on monthly averages. (Maqutu, 2014)	-	World Bank development Indicators
MNF	This is the contribution of the manufacturing sector to GDP		World Bank development Indicators
INF	Inflation as measured by the consumer price index reflects the annual percentage change in the cost to the average consumer of acquiring a basket of goods and services. (Sergii as cited in Modebe and Chijindu (2016)	-	World Bank development Indicators

Table 1. Descriptive statistics

	EXCH	EXP	FDI	INT	INF	MNF
Mean	7.1471	45.801	1.1324	6.5390	6.7461	9.3249
Median	7.0453	46.471	3.9157	7.8423	6.5478	9.4065
Maximum	12.750	84.444	9.8945	4.1645	12.702	5.0012
Minimum	0.3782	22.135	0.6019	1.4289	−0.6920	2.5280
Std. Dev.	2.4506	13.500	2.1268	1.1578	2.5445	1.5701
Skewness	−0.0865	0.2724	2.5268	1.7694	0.2453	1.4461
Kurtosis	3.9578	2.7898	8.4853	4.7629	3.3573	3.4153

Table 2. Stationarity tests

Variable	Levin, Lin & Chu t*		Lm, Pesaran and Shin W-stat		ADF—Fischer Chi-square
	Stat.	Prob.	Stat.	Prob.	Stat.	Prob.
MNF	0.8080	0.2095	−0.6180	0.2683	−11.9609	0.2877
INT	−2.5619	0.0052	−2.6601	0.0039	25.1483	0.0051
INF	−2.9372	0.0017	−2.4278	0.0076	23.9301	0.0078
IMP	0.2462	0.5973	1.4822	0.9309	3.5014	0.9670
FDI	−3.13476	0.0009	−3.3087	0.0005	28.8807	0.0013
EXP	−1.2946	0.0977	−0.9464	0.1720	13.2835	0.2082
EXCH	−1.4855	0.9313	0.6272	0.7347	5.4320	0.8606

Table 3. Pedroni cointegration test

Cointegration test	Intercept	Intercept and trend
Test statistics	Prob.	Prob.
Panel v-statistic	0.4337	0.5927
Panel rho‑statistic	0.7199	0.9645
Panel PP‑statistic	0.0000	0.0000
Panel ADF‑statistic	0.0004	0.0000
Group Panel rho‑statistic	0.9240	0.9906
Group PP‑statistic	0.0000	0.0000
Group ADF‑statistic	0.0000	0.0000

Table 4. Fisher panel cointegration test

Hypothesised no. of CEs	Fisher statistic (from Trace test)	Prob.	Fisher statistic (from Max-eigen test)	Prob.
None	0.000	1.0000	0.000	1.000
At most 1	267.6	0.0000	208.6	0.000
At most 2	28.4	0.6452	22.3	0.4563

Table 5. FMOLS results

Variable	Coefficient	Std Error	t-statistic	Prob
INT	0.0093	0.0315	0.2958	0.7680
INF	0.1310	0.0331	3.9524	0.0002***
IMP	−8.0600	3.7400	−2.1545	0.0339**
FDI	−0.0722	0.0315	−2.2885	0.0245**
EXP	0.0509	0.0220	2.3085	0.0233**
EXCH	−0.1901	0.0819	−2.3202	0.0226**

Note: *** 1% level; ** 5% level.

Table 6. Pooled mean group results

Variable	Coefficient	Std. error	t-Statistic	Prob.
Long-run coefficients
INT	0.1010	0.3717	0.2718	0.7858
INF	0.2744	0.2740	1.0013	0.3204
IMP	−0.3161	0.1903	−1.6607	0.0968*
FDI	0.0495	0.0169	2.2928	0.0047***
EXP	0.1110	0.0062	17.8931	0.0000***
EXCH	−0.3658	0.0798	−4.5794	0.0000***
Error correction coefficient
Error correction	−0.5315	0.0538	−9.8716	0.0000***
Short-run coefficients
ΔINT	−0.2810	0.1625	−1.7284	0.0887*
ΔINF	0.0647	0.0444	1.4587	0.1495
ΔIMP	0.4093	0.3836	1.0670	0.2860
ΔFDI	−0.0089	0.0271	−0.3278	0.7441
ΔEXP	0.4460	0.0611	7.2950	0.0000***
ΔEXCH	−0.5329	0.0549	−9.6990	0.0000***

Note: *** 1% level; * 10%.

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