Moses M. Sichei (Department of Economics, University of Pretoria) Tewodros G. Gebreselasie (Department of Economics, University of Pretoria) Olusegun A. Akanbi (Department of Economics, University of Pretoria)
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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by University of Pretoria, Department of Economics in its series Working Papers with number
200514.
Find related papers by JEL classification: B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Quantitative and Mathematical C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models F31 - International Economics - - International Finance - - - Foreign Exchange