Econometricshttp://ir.haramaya.edu.et//hru/handle/123456789/1822024-03-29T05:54:45Z2024-03-29T05:54:45ZMODELING THE IMPACT OF MACROECONOMIC VARIABLES SHOCKS ON ETHIOPIAN TRADE BALANCE: A MULTIVARIATE TIME SERIES APPROACHBATIRE KUMERAHabtamu Kiros (Assist. Prof)Dechassa Obsi (PhD)http://ir.haramaya.edu.et//hru/handle/123456789/72012024-01-02T06:54:23Z2023-08-01T00:00:00ZMODELING THE IMPACT OF MACROECONOMIC VARIABLES SHOCKS ON ETHIOPIAN TRADE BALANCE: A MULTIVARIATE TIME SERIES APPROACH
BATIRE KUMERA; Habtamu Kiros (Assist. Prof); Dechassa Obsi (PhD)
The aim of this study was to modeling the impacts of macroeconomic variables shocks on Trade
Balance in Ethiopia using a Multivariate Time Series Approach. Trade balance is the value of
exported goods minus the value of imported goods. For instance Ethiopia is running with a
negative trade balance for the several decades implying that export of the country could not cover
the import expenditure. The main objective of this study was to examine the short-run and long-run
effect of real effective exchange rate, broad money supply, gross domestic product and foreign
direct investment on the current change of trade balance in the case of Ethiopia. A time series data
was taken from National Bank of Ethiopia and World Bank data base on yearly basis from 1991 to
2020. Each of the study variables where checked for stationary and existence of co-integrating
relation and found two co-integrating relation exists. Thus, a vector error correction model was
applied to investigate the short-run and long-run effect of the exogenous variables shocks on the
current change of trade balance. The result of the analysis shows that the change in each of real
effective exchange rate, gross domestic product and foreign direct investment have a significant
short-run and long-run effect shock on the current change of trade balance either in their first lag
and second lag. On the other hand broad money supply has insignificant short-run and long-run
effect shock on the current change of trade balance either in their first lag and second lag. From
the result of forecast variation contribution in trade balance is itself in short horizon and decrease
in the long horizon.
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2023-08-01T00:00:00ZMODELING PROFITABILIY OF PRIVATE BANKS IN ETHIOPIAHabib Mohammed YimamAboma Temesgen (Asst. ProfAlebachew Abebe (Asst. Prof.)http://ir.haramaya.edu.et//hru/handle/123456789/68492023-11-08T07:54:40Z2022-11-01T00:00:00ZMODELING PROFITABILIY OF PRIVATE BANKS IN ETHIOPIA
Habib Mohammed Yimam; Aboma Temesgen (Asst. Prof; Alebachew Abebe (Asst. Prof.)
Profitability is the ability to make revenue from the overall business activities. Financial institutions is dominated by the banking industry that results panel data that requires panel model to analyze and explore determinant factors associated with its profitability. In Ethiopia all the financial systems are dominated by the banking industry and there is no foreign bank involvement; the financial markets leave to only domestic state-owned private and public banks. Previously linear regression and static panel model were applied to address the bank profitability determinants. However these methods explain profitability at a point of time and not consider the dynamic nature of profitability. Instead, dynamic panel models reflect dynamic features of profitability coherent with society. The main objective of this study was aimed to model determinants of private banks profitability in Ethiopia during 2012–2021 considering its dynamic nature. Return on assets, return on equity, and net interest margin were used in this study as profitability indicators and analyzed using dynamic panel model estimation methods based on the first differenced and system generalized moment method estimation techniques based on the data extracted from national bank of Ethiopia. The exploratory data analysis result showed the profitability; return on asset was seems stable while return on equity was decreased and net interest margin was increased with decreasing rate. The model specification result showed one-step system generalized moment method estimation was an appropriate estimation technique as model estimation result directs lagged profitability, capital adequacy, asset quality and size of banks have positive significant effect on profitability. Similarly inflation rate and economic growth rate have positively determine private banks profitability on macroeconomic side. Despite to this results liquidity was significant negative bank specific determinant of profitability. The study result recommends consideration on capital adequacy, asset quality, liquidity, branch of banks for the private banks profitability. In addition, this study will call upcoming research to model profitability on return on equity and net interest margin with determinants such as credit risk and non-performing loan with improving the estimation method of panel autoregressive distributed lag models for modeling profitability in Ethiopia.
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2022-11-01T00:00:00ZASYMMETRIC EFFECT OF CRUDE OIL PRICE CHANGES ON INFLATION IN SELECTED EAST AFRICAN COUNTRIES: APPLICATION OF PANELNONLINEAR AUTOREGRESSIVE DISTRIBUTED LAG MODEL (PNARDL)Abrahim Osmael Kebira1.DuferaTajjeba (Asst.Prof)Dasa Deba (Asst.Prof)http://ir.haramaya.edu.et//hru/handle/123456789/68482023-11-08T07:51:08Z2023-03-01T00:00:00ZASYMMETRIC EFFECT OF CRUDE OIL PRICE CHANGES ON INFLATION IN SELECTED EAST AFRICAN COUNTRIES: APPLICATION OF PANELNONLINEAR AUTOREGRESSIVE DISTRIBUTED LAG MODEL (PNARDL)
Abrahim Osmael Kebira; 1.DuferaTajjeba (Asst.Prof); Dasa Deba (Asst.Prof)
Inflationary pressure that has been started increasing in 2000 in global economies were sharp increasing in East Africa developing countries. Consumer price index included as the measures of inflation. This study examines the effects of crude oil price changes on inflationin selected East Africa'scountries with special focus on asymmetric relationship of crude oil price changes and consumer price index where others are control variables. Panel nonlinear autoregressive distributed lag model framework of pooled mean group and robust standerd fixed effect driscrol-Kray model was employed to consider cross sectional dependence.The longrun and shortrun crude oil price changes are introduced into the oil price-inflation model through the positive and negative partial sum decompositions of oil price changes. The appropriate panel nonlinear autoregressive distributed lag model was selected and estimated with pooled mean group estimation techniques to capture effect of unequal magnitude oil price changes. Fixed effect model introduced robustness and identified that the model is robust and normal with employed data, whereas Ramsey RESET suggests model validity. The study finds that, the long run positive and negative oil price changes significantly affect inflation. The long run asymmetry is discovered by identifying the unequal or different coefficient values between positive and negative oil price with oil price positive exerting more effect on inflation than its counterpart oil price negative and revealed significant speed of adjustment which converges to equilibrium slowly in the long run. The result confirms the large increase and small increase behaviors of positive and negative change of crude oil price. The study recommends consideration on real crude oil price, exchange rates, real gross domestic product, to East Africa policy makers. This study will call upcoming research to model crude oil price asymmetries and inflation using granger causality withdeterminants such as assets, with improving the cross sectional nonlinear autoregressive distributed lag estimation methods for modeling inflation in East Africa
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2023-03-01T00:00:00ZMODELING LONGITUDINAL FACTORS OF WHEAT YIELD IN SOME SELECTED ZONES OF THE OROMIA REGIONAL STATE, ETHIOPIADesta AbdelaKasahun Takele (PhD)Tesfaye Abera(Assistant Prof.)http://ir.haramaya.edu.et//hru/handle/123456789/68472023-11-08T07:47:06Z2022-08-01T00:00:00ZMODELING LONGITUDINAL FACTORS OF WHEAT YIELD IN SOME SELECTED ZONES OF THE OROMIA REGIONAL STATE, ETHIOPIA
Desta Abdela; Kasahun Takele (PhD); Tesfaye Abera(Assistant Prof.)
Wheat is one of the most important cereal crops in Ethiopia, ranking third in total cereal production (16%) next to teff and maize. Despite its potential for wheat grain production, Ethiopia falls short of being self-sufficient in wheat, and is currently a net importer of the grain. The aim of this study was to model the yield of wheat in five selected zones of the Oromia region. Specifically, this research determined changes in wheat yields over a decade and found out the effect of temperature and rainfall on wheat yield in the study area. Data on wheat crop (2012–2021) were obtained from agriculture and natural resource offices of each zone included in the study. Whereas, metrological data (2012–2021) was obtained from the National Meteorological Agency of Ethiopia. To get insight into the data, exploratory data analysis was performed on the longitudinal change in wheat yields. Linear mixed models were employed for the study. Then a model comparison was done using the AIC and BIC to select the best model to fit the data. A linear mixed model with a random intercept was selected as the best model to fit the data based on different model selection criteria. Diagnostic plots for the fitted linear mixed model revealed a valid model for the analysis. The study revealed that temperature and rainfall significantly affect the yield of wheat in the selected zones at a 5% level of significance. Furthermore, the analysis indicated that there is an increasing trend in wheat yields across all the zones after 2018. Based on these findings, the government must take the initiative to introduce high-temperature resistant crops, as rising temperatures have a negative impact on crop productivity. We further recommend that the farmers should be aware of the situations that lead to a decrease in rainfall, especially due to man made activities.
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