Sichei, Moses MuseGebreselasie, Tewodros G.Akanbi, Olusegun Ayodele2008-02-152008-02-152005-12Sichei, 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]http://hdl.handle.net/2263/4509Modeling 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.471328 bytesapplication/pdfenUniversity of Pretoria, Department of EconomicsExchange rateOvershooting modelVector error correction model (VECM)Foreign exchange rates -- Econometric modelsWorking Paper