An econometric model of rand-US dollar nominal exchange rate
| 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 |