This research project aims at Modeling the Effect Exchange rate (US dollar-Rwandan franc) on Rwanda Gross Domestic Product by using co-integration approach of time series. Since, there are few studies talking about this topic of the effect of exchange rate on gross domestic product all over the world and particularly no clear study referred to Rwandan data, that is the reason why the researcher is investigating to see if there is a clear effect that exchange rate can make on gross domestic product. The quarterly time series data of both variables for the period of 2006−2016 were sourced from National Institute of Statistics of Rwanda and central bank and analyzed, the Population under study altogether forms the sample, and data were analyzed using some statistical software such as E-views and STATA. The Unit roots test was checked for stationary of time series data at 5% level of significance.

Keywords : Exchange Rate, Gross Domestic Product, Vector Auto Regressive.