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Understanding SLL / US$ exchange rate dynamics in Sierra Leone using Box-Jenkins ARIMA approach

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  • Jackson, Emerson Abraham

Abstract

This study was carried out with the purpose of producing twelve out-of-sample forecast for a univariate exchange rate variable as a way of addressing challenges faced around dollarization issues in the domestic economy. In pursuit of this, the ARIMA model was utilised, with the best model [1,4,7] indicating that the Sierra Leone - Leone [SLL] currency will continue to depreciate against the United States Dollar [US$] throughout most part of the year 2020. This was done on the assumption of Ceteris Paribus condition, and most importantly on the view that past events of the univariate exchange rate variable is a determinant of future outcomes or performances. In a bid to moving forward, policy recommendations have suggested high level collaboration between relevant policy institutions like the Bank of Sierra Leone and the Ministry of Finance to address issues of concern, for example, a boost to the real sector and many more.

Suggested Citation

  • Jackson, Emerson Abraham, 2020. "Understanding SLL / US$ exchange rate dynamics in Sierra Leone using Box-Jenkins ARIMA approach," MPRA Paper 97965, University Library of Munich, Germany, revised 03 Jan 2020.
    • Handle: RePEc:pra:mprapa:97965
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    File URL: https://mpra.ub.uni-muenchen.de/97965/1/MPRA_paper_97965.pdf
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    References listed on IDEAS

    as
    1. Jackson, Emerson Abraham & Jabbie, Mohamed, 2019. "Understanding Market Failure in the Developing Country Context," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 1-10.
    2. Christopher E.S. WARBURTON, 2018. "Covered Interest Parity And Frictions In Currency And Money Markets: Analysis Of British Pound And Dollar For The Period 1999-2006," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 18(1), pages 55-72.
    3. Emerson Abraham Jackson & Edmond Tamuke & Abdulai Sillah, 2018. "Modelling Monthly Headline Consumer Price Index (HCPI) through Seasonal Box-Jenkins Methodology," International Journal of Sciences, Office ijSciences, vol. 7(01), pages 51-56, January.
    4. West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, vol. 69(2), pages 367-391, October.
    5. Jackson, Emerson Abraham & Tamuke, Edmund & Jabbie, Mohamed, 2019. "Disaggregated Short-Term Inflation Forecast (STIF) for Monetary Policy Decision in Sierra Leone," MPRA Paper 96735, University Library of Munich, Germany, revised 26 Nov 2019.
    6. repec:srs:journl:jasf:v:9:y:2018:i:1:p:34-44 is not listed on IDEAS
    7. EMERSON Abraham Jackson, 2018. "Comparison Between Static And Dynamic Forecast In Autoregressive Integrated Moving Average For Seasonally Adjusted Headline Consumer Price Index," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 70(1), pages 53-65, August.
    8. Jackson, Emerson Abraham, 2016. "Phronesis and Resource Curse Hypothesis in Post-Independent Sierra Leone," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 3, pages 1-11.
    9. Michael Bleaney & Atsuyoshi Morozumi & Zakari Mumuni, 2020. "Inflation Targeting and Monetary Policy in Ghana," Journal of African Economies, Centre for the Study of African Economies, vol. 29(2), pages 121-145.
    10. Emerson JACKSON & Edmund TAMUKE, 2018. "Probability Forecast Using Fan Chart Analysis A Case of the Sierra Leone Economy," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 9(1), pages 34-44.
    11. Jackson, Emerson Aabraham, 2017. "Hermeneutics of Ceteris Paribus in the African Context," MPRA Paper 97817, University Library of Munich, Germany, revised 05 Oct 2018.
    12. Jackson, Emerson Abraham & Tamuke, Edmund, 2018. "Probability Forecast Using Fan Chart Analysis: A case of the Sierra Leone Economy," MPRA Paper 88853, University Library of Munich, Germany, revised 04 Sep 2018.
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    Citations

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    Cited by:

    1. Emerson Abraham JACKSON & Mohamed JABBİE & Edmund TAMUKE & Augustine NGOMBU, 2020. "Adoption of Inflation Targeting in Sierra Leone: An Empirical Discourse," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 7(2), pages 21-50, July.
    2. Jabbie, Mohamed & Jackson, Emerson Abraham, 2020. "On the Validity of Purchasing Power Parity (PPP): The Case of Sierra Leone," MPRA Paper 110659, University Library of Munich, Germany, revised 05 Jun 2020.
    3. Emerson Abraham Jackson, 2021. "Forecasting COVID-19 Daily Contraction in Sierra Leone with Implications for Policy Formulation," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 8(1), pages 29-43, January.

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    More about this item

    Keywords

    Box-Jenkins ARIMA; Exchange Rate; Forecast; Sierra Leone;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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