IIARD International Institute of Academic Research and Development

INTERNATIONAL JOURNAL OF COMPUTER SCIENCE AND MATHEMATICAL THEORY (IJCSMT )

E-ISSN 2545-5699
P-ISSN 2695-1924
VOL. 10 NO. 1 2024
DOI: https://doi.org/10.56201/ijcsmt.v10.no1.2024.pg48.70

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Panel VAR Modeling of Exchange Rate, Exports, and Imports in Selected African Countries

AKANDU, Solomon Udochukwu, Essi . I. D. & Deebom, Zorle Dum

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Abstract

The study investigates the dynamic interaction between exchange rate, export prices and imports in selected African Countries. The design for this study is an ex-post facto research. In estimating the parameters of the model, the study used Panel Vector Autoregressive least square dummy variable and the Generalized Method of Moment (GMM) and diagnostic check on the Vector Autoregressive (VAR) Model. This was done to check for the model robustness and adequacy. The results show that there is no long-run relationship between variables. In estimating panel vector autoregression model using least squares dummy variable estimator, the result is more robust. The results indicate that only exchange rate across the countries under investigation is positively and significantly affected by its own lag. Also, shows commercial export prices, import is positively and significantly affects by its own first lag at 5% level of significant respectively while import values have positively and significantly effect on export prices its own first and second lags 5 and 1% level of significance respectively. The inverse roots of a characteristic polynomial satisfy the stability condition (of the diagnostic test) since no root lied outside the unit root circle. Therefore, the estimated panel VAR is stable. There is bidirectional causality exists (or run) exchange rate and import values, export prices, and import values, import values, and exchange rate and import values and export prices.

keywords:

Modeling Exchange Rate, Exports, and Imports

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References:

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Ackah, C. & Morrissey O., (2005) Trade Policy and Performance in Sub-Saharan Africa since the
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Amponsah, W.A. (2002). “Analytical and Empirical Evidence of Trade Policy Effects of Regional
Integration: Implications for Africa”. A Paper presented at the Africa Development Forum
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