This study empirically evaluates the interactive effects of real effective exchange rate (REXR) variations, real interest rates (RIRT), and money supply (VM2S) and the key determining factor of construction investment across seven African regional blocs (ECOWAS, EAC, COMESA, CEMAC, WAEMU, Northern, and Southern Africa). The methodology integrates several advanced econometric techniques, including System GMM, Spatial Autoregressive/Error Models (SAR/SEM/SDM), Difference-in-Differences (DiD), Panel Threshold Regression, and Panel Quantile Regression (PQR), to account for average effects, spatial spillovers, causal policy impacts, and non-linear thresholds. The findings stress the necessity of joined-up policy action, as fragmented variable management leads to suboptimal outcomes. The financial depth threshold in COMESA and the fiscal sustainability level in CEMAC and WAEMU further emphasize the need for effective management of monetary and fiscal policies in order to ensure investment efficiency. The study is consistent in demonstrating that the money supply growth interplay with interest rates results in liquidity trap effect which is particularly acute in CEMAC and Southern Africa, where high costs of borrowing nullify the attempts to increase liquidity. The results of System GMM and PQR indicate that there is a change of a history-driven persistence in underdeveloped markets (0.412 on average in COMESA) to policy-driven persistence in more mature markets where the sensitivity of real interest and exchange rates interactions is highest at 1.25 in Northern Africa. The Pesaran CD test makes sure that there is high spatial interdependence (p < 0.01), with WAEMU being the most regionalized ( = 0.385) and CEMAC being the most fragmented ( = 0.110). Quasi experimental DiD evidence indicates that the gains of regional integration are causal and up to 21% (WAEMU) gains but commodity shocks may lead to substantial contractions as observed in CEMAC (-8.5%). Non-linear analysis reveals key thresholds: interest rate ceilings of 12.5% for ECOWAS and 10.0% for Southern Africa and 18 percent financial depth for COMESA and 8.5 percent confidence level to inflation for Northern Africa. The liquidity-interest rate interaction significantly reflects a liquidity trap effect, especially in CEMAC (-1.45), where the benefits of monetary expansion are counterbalanced by high capital costs. The research establishes that the optimal balance between real exchange rate flexibility, real interest rate management and liquidity is the most important. In order to achieve sustainable infrastructural investment growth, policymakers need to pursue an integrated strategy that ensures interest rates are kept at 10-12, debt is kept within 55 ceiling and leverages regional spatial multipliers to maximize the neighbor effect of infrastructure development in form of the benefits of cross-border economic interactions.