An econometric model of rand-US dollar nominal exchange rate

Sichei, Moses Muse; Gebreselasie, Tewodros G.; Akanbi, Olusegun Ayodele

dc.contributor.author	Sichei, Moses Muse
dc.contributor.author	Gebreselasie, Tewodros G.
dc.contributor.author	Akanbi, Olusegun Ayodele
dc.date.accessioned	2008-02-15T09:34:47Z
dc.date.available	2008-02-15T09:34:47Z
dc.date.issued	2005-12
dc.description.abstract	Modeling the nominal exchange rate has been one of the most difficult exercises in economics. This paper attempts to estimate the nominal rand-USD exchange rate under the Dornbusch(1980) and Frankel (1979) overshooting model using the Johansen cointegration technique. The overshooting model fits the data well and that commodity prices are sticky in South Africa. Thus any monetary policy strategy to strengthen or weaken the rand by means of raising or cutting interest rate does the opposite in the short-run.	en
dc.format.extent	471328 bytes
dc.format.mimetype	application/pdf
dc.identifier.citation	Sichei, MM, Gebreselasie, TG & Akanbi, OA 2005, 'An econometric model of rand-US dollar nominal exchange rate', University of Pretoria, Department of Economics, Working paper series, no. 2005-14. [http://web.up.ac.za/default.asp?ipkCategoryID=736&sub=1&parentid=677&subid=729&ipklookid=3]	en
dc.identifier.uri	http://hdl.handle.net/2263/4509
dc.language.iso	en	en
dc.publisher	University of Pretoria, Department of Economics	en
dc.relation.ispartofseries	Working Paper (University of Pretoria, Department of Economics)	en
dc.relation.ispartofseries	2005-14	en
dc.rights	University of Pretoria, Department of Economics	en
dc.subject	Exchange rate	en
dc.subject	Overshooting model	en
dc.subject	Vector error correction model (VECM)	en
dc.subject.lcsh	Foreign exchange rates -- Econometric models	en
dc.title	An econometric model of rand-US dollar nominal exchange rate	en
dc.type	Working Paper	en