Testing Exchange Rate Models for Ethiopia (A V AR approach)
| dc.contributor.advisor | Warner, James (Dr.) | |
| dc.contributor.author | Mulugeta, Elias | |
| dc.date.accessioned | 2021-07-27T06:10:42Z | |
| dc.date.accessioned | 2023-11-04T10:30:20Z | |
| dc.date.available | 2021-07-27T06:10:42Z | |
| dc.date.available | 2023-11-04T10:30:20Z | |
| dc.date.issued | 1996-06 | |
| dc.description.abstract | This paper is intended to design and select an exchange rate model that is consistent with the available information in Ethiopia. The models include: the Interest Parity Condition(IPC), a version of the Frankel's(1979) long-run exchange rate model and a Meese's(1986) model of exchange rate which is constructed from the deviation of Purchasing Power parity(PPP). For this task, we have adopted Johansen's and Vector Autoregressive Representation (VAR) modelling methodology to conduct a test for the application of three popular exchange rate models. The validity of these models have been repeatedly analyzed under three major currencies against Ethiopian Birr. Based on the finding of this paper, we are inclined to conclude that to construct exchange rate model for Ethiopia, Frankel's model is strongly supported by the empirical evidence. Exchange rate models representation implied by the interest parity condition and model of Meese(1986) are rejected for all currencies for Ethiopian data. The failure of the model suggested by interest parity condition and Meese's model can be capture by various econometric tests such as Johansen's co integration and VAR modelling tests and variance ratio test | en_US |
| dc.identifier.uri | http://etd.aau.edu.et/handle/123456789/27361 | |
| dc.language.iso | en | en_US |
| dc.publisher | A.A.U | en_US |
| dc.subject | Exchange Rate Models | en_US |
| dc.subject | For Ethiopia | en_US |
| dc.title | Testing Exchange Rate Models for Ethiopia (A V AR approach) | en_US |
| dc.type | Thesis | en_US |