المحددات قصيرة وطويل الأجل لسعر الصرف الحقيقي في السودان: نموذج الانحدار الذاتي للإبطاء الزمني الموزع

Abstract

This paper investigates the determinants of exchange rate of Sudanese currency, during the period 1978-2017. The method employed is based on an econometric technique of times series within an autoregressive distributed lag (ARDL) framework. Six independent variables have been chosen as some determinants that affecting the behavior of the exchange rate. These factors are including trade balance, international reserve, domestic inflation, foreign debts and GDP. To avoid the problem of spurious regression, the series has been subjected to stationary tests, namely, Augmented Dickey-Fuller and Phillips-Perron tests. The Bounds test for cointegration shows that there is long equilibrium relationship between the exchange rate and its determinants. The error correction test indicates that the speed of adjustment is 41% yearly.