University of Khartoum

The Impact of the Macro Economic Indicators on Exchange Rate in Sudan (1992-2014)

The Impact of the Macro Economic Indicators on Exchange Rate in Sudan (1992-2014)

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Title: The Impact of the Macro Economic Indicators on Exchange Rate in Sudan (1992-2014)
Author: Ali, Maha Shawgi Badr
Abstract: The objectives of this study are to estimate the effect of interest rate on the exchange rate, measure the relativity between GDP and exchange rate, calculate the link between the inflation and exchange rate, and estimate the impact of total exports and total imports on the exchange rate in the Sudan.The data of this study revolve around the period between 9192-2014 for interest rate, inflation, GDP, total exports, total imports and exchange rate, based on the data provided by the Central Bank of Sudan.The study contains a standard model and uses time series method to examine stationary, Granger Causality test and the OLS regression by using E-views 3.The results of the stationary test show that all the series are stationary and integrated from the second class (CI ) for Augmented DickeyFuller (ADF) test. However, in Phillips Perron (PP) test all the series are stationary and integrated from the first class (CI ). Granger causality test shows that there is a causal relation between the interest rate and the exchange rate. The Adj R2 was 0.86;thisvalue indicates that theindependent variables(interest rate, inflation, GDP, total imports, and total exports) interpret 86% ofthe changes that occurin the exchange rate. Interest rate, inflation, and GDP are individually significant to explain the exchange rate. Interest rate, inflation, GDP, total export, and total imports are jointly significant to influence the exchange rate. Residuals are not auto-correlated; the variance of residuals is homoscedastic and the residuals are normally distributed. The study presented several recommendations, the most important are: Working to increase real GDP, which in turn improves the exchange rate and provides stability and political security for the flow of investment capital. As well as development of agricultural and industrial sector and the reduction of the export of raw materials, which reflect a positive impact on the exchange rate.
Description: 55paqge
URI: http://khartoumspace.uofk.edu/123456789/25933


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