ETB/USD.
Ethiopian Birr — managed float with structural depreciation
Ethiopian Birr per US Dollar
52-Week Range
0.0062 — 0.0176
652 trading days
Ann. Volatility
12.4%
MLE λ=0.900 (N=651)
VaR (95%)
0.34%
Cornish-Fisher
Regime
Mixed
P(turb.) = 34%
Price History.
Daily closing prices with Bollinger Band overlay
Regime Detection.
Hamilton (1989) two-state Markov switching model
Calm State
σ = 5.7% ann.
Avg. duration: 7 days
Turbulent State
σ = 53.3% ann.
Avg. duration: 2 days
Regime Timeline
Transition Probabilities
P(calm → calm) = 84.7%
P(calm → turb.) = 15.3%
P(turb. → turb.) = 50.0%
P(turb. → calm) = 50.0%
Model Diagnostics
Converged: Yes
Observations: 651
Log-likelihood: 2265.0
Vol ratio (turb/calm): 9.3x
Returns Distribution.
Log return histogram with normal overlay
Mean
-0.1594%
Std Dev
1.5712%
Skewness
-9.953
Excess Kurtosis
145.261
Jarque-Bera
583102.91
JB p-value
0.0000
Normal?
No
Observations
651
Why this matters
Negative skewness indicates more frequent sharp drops than rallies — standard VaR understates downside risk. Excess kurtosis (fat tails) means extreme moves occur more often than a normal distribution predicts. Gaussian risk models systematically understate tail risk for this asset.
Volatility.
EWMA volatility (λ = 0.900) — annualized
Seasonality.
Monthly return patterns across available history
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | — | — | — | +123.8% | -0.3% | -0.2% | -24.0% | -27.8% | -12.4% | — | -2.9% | -2.8% |
| 2025 | -6.6% | +22.1% | -2.3% | -1.2% | -2.9% | +0.3% | -2.1% | -2.8% | -1.8% | -16.7% | -0.3% | -0.8% |
| 2026 | -6.9% | -0.5% | -0.5% | +0.0% | -0.6% | -1.1% | -0.7% | — | — | — | — | — |
Average Monthly Return
Seasonal Context
The Birr tends to see depreciation pressure in Q2–Q3 when the coffee export window closes and import demand (fuel, capital goods) continues. Q4 coffee harvest financing and Q1 export proceeds create seasonal forex inflows that can slow depreciation. NBE reserve levels and parallel market spreads are leading indicators of policy changes.
Risk Metrics.
Value at Risk, Expected Shortfall, and drawdown analysis
Interpretation: On 95% of trading days, the loss is expected to be smaller than 0.34%. On the worst 5% of days, the average loss (CVaR) is estimated at 9.76%. The 99% VaR captures more extreme tail events at 10.10%.
Estimated from 651 daily returns. Tail risk estimates improve with longer history.
Maximum Drawdown: 64.71%
Trend Analysis.
Hurst exponent and Bollinger Band bandwidth
Hurst Exponent
Estimated via R/S analysis from 651 return observations
Bollinger Bandwidth
Bandwidth is contracting (squeeze) — volatility is compressed. Whether this resolves up or down is not predictable from bandwidth alone.
About ETB/USD.
Fundamentals, catalysts, and Ethiopian trade relevance
Ethiopian Trade Relevance
The ETB/USD rate is the single most important price for any Ethiopian business engaged in international trade. It determines the Birr-equivalent revenue from coffee exports, the cost of fuel and machinery imports, and the effective profitability of every cross-border transaction. The managed float regime means the National Bank of Ethiopia (NBE) intervenes to smooth volatility, creating unique return dynamics.
Supply & Demand Fundamentals
Ethiopia's managed float transitioned from a fixed peg in mid-2024. The parallel market premium (street rate vs. official rate) signals policy pressure. Coffee export revenue (~$1.5B/year) is the primary forex source. Remittances (~$4B/year) are the largest single forex inflow. Import cover (months of reserves) determines NBE's intervention capacity. IMF program conditionality increasingly targets exchange rate flexibility.
Key Reports & Catalysts
Quote Convention
Ethiopian Birr per US Dollar
Unit
ETB per USD
Trading Days/Year
252