ABSTRACT

This study examined the main drivers of real effective exchange rate (REER) misalignment for Ethiopia over the period 1970–2020. Based on the behavioural equilibrium exchange rate concept, the study used the dynamic OLS and Markov regime switching model (MSM). The cointegration results revealed that the REER appreciates for an increase in relative productivity, government spending and net remittances, but it depreciates for more trade openness and real investment in the long-run. The MSM results also suggested a distinct misalignment episodes of under- and overvaluation with significant variability for the Ethiopia’s Birr over the study period.

摘要

本研究调查了 1970 年至 2020 年期间埃塞俄比亚实际有效汇率 (REER) 失调的主要驱动因素。基于行为均衡汇率概念，研究采用了动态OLS和马尔可夫状态转换模型（MSM）。协整结果显示，REER 因相对生产率、政府支出和净汇款的增加而升值，但在长期内因更多的贸易开放和实际投资而贬值。MSM 结果还表明，埃塞俄比亚比尔在研究期间存在明显的低估和高估错位事件，具有显着的可变性。