Time Series Analysis on Multiple Macro Economic Indicators in Ghana

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Date
2013
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Abstract
The study sought to test the hypothesis that there is no relationship between real effective exchange rate and other macroeconomic variables.This study was done by developing an empirical model for Real Effective Exchange Rate with special focus on Foreign aid using the cointegration, vector and error correction (VEC) and vector auto regression (VAR) approach. Annual data covering the period 1980 to 2011 was collected (World Bank Development Indicators). The outcome of the study showed that foreign aid as well as government expenditure, Aid, Money supply, Terms of Trade and Openness of the economy have appreciating effect on Real Effective Exchange Rate. On the other hand Government Expenditure had depreciating pressure on Real Effective Exchange Rate. We also established from the variance decomposition and impulse response function that foreign aid is an important determinant to real effective Exchange Rate.
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A Thesis submitted to the Department of Mathematics, Kwame Nkrumah University of Science and Technology in partial fulfillment for the requirements for the degree of Master of Science(Industrial Mathematics)Institute Of Distance Learning Faculty of Physical Sciences, College of Science.
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