The Behaviour and Fundamental Determinants of the Real Exchange Rate in South Africa
Author: Peter Takaendesa
Publisher:
Published: 2006
Total Pages: 288
ISBN-13:
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Author: Peter Takaendesa
Publisher:
Published: 2006
Total Pages: 288
ISBN-13:
DOWNLOAD EBOOKAuthor: Mr.Luca Antonio Ricci
Publisher: International Monetary Fund
Published: 2003-03-01
Total Pages: 25
ISBN-13: 1451846436
DOWNLOAD EBOOKBased on the Johansen cointegration estimation methodology, much of the long-run behavior of the real effective exchange rate of South Africa can be explained by real interest rate differentials, GDP per capita (both relative to trading partners), real commodity prices, trade openness, the fiscal balance, and the extent of net foreign assets. On the basis of these fundamentals, the real exchange rate in early 2002 was found to be significantly more depreciated with respect to the estimated equilibrium level. The half-life of the deviation of the real exchange rate from the estimated equilibrium one was found to be somewhat more than two years.
Author: Janine Aron
Publisher:
Published: 1997
Total Pages: 33
ISBN-13:
DOWNLOAD EBOOKAuthor: Jeffrey A. Frankel
Publisher:
Published: 2010
Total Pages: 20
ISBN-13:
DOWNLOAD EBOOKThis paper is an econometric investigation of the determinants of the real value of the South African rand over the period 1984-2006. The results show a relatively good fit. As so often with exchange rate equations, there is substantial weight on the lagged exchange rate, which can be attributed to a momentum component. Nevertheless, economic fundamentals are significant and important. This is especially true of an index of the real prices of South African mineral commodities, which even drives out real income as a significant determinant of the rand's value. An implication is that the 2003-2006 real appreciation can be attributed to the Dutch Disease. In other respects, the rand behaves like currencies of industrialized countries with well-developed financial markets. In particular, high South African interest rates raise international demand for the rand and lead to real appreciation, controlling for a forward-looking measure of expected inflation and a measure of default risk or country risk. It is in the latter respects, in particular, that the paper hopes to have improved on earlier studies of the rand.
Author: International Monetary Fund
Publisher: INTERNATIONAL MONETARY FUND
Published: 2003-01-23
Total Pages: 103
ISBN-13: 9781451840995
DOWNLOAD EBOOKThis Selected Issues paper estimates an equilibrium path for South Africa's real effective exchange rate. The paper briefly describes the dynamics of the real exchange rate and its determinants. It investigates the presence of a long-term relationship between the real exchange rate and certain explanatory variables, estimates the speed at which the real exchange rate converges toward its equilibrium level, and derives measures for the equilibrium real exchange rate. The paper also examines the real money demand, consumer prices, and the real exchange rate in South Africa.
Author: Mr.Rabah Arezki
Publisher: International Monetary Fund
Published: 2012-06-01
Total Pages: 19
ISBN-13: 1475505167
DOWNLOAD EBOOKWe examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980-2010. Our main findings is that prior to capital account liberalization the causality runs from South African Rand to gold price volatility but the causality runs the other way around for the post-liberalization period. These findings suggest that gold price volatility plays a key role in explaining both the excessive exchange rate volatility and current disproportionate share of speculative (short-run) inflows that South Africa has been coping with since the opening up of its capital account.
Author: Oludele Akinloye Akinboade
Publisher:
Published: 2004
Total Pages: 74
ISBN-13:
DOWNLOAD EBOOKAuthor: Brian Kahn
Publisher:
Published: 1996
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Nasha Maveé
Publisher: International Monetary Fund
Published: 2016-10-17
Total Pages: 38
ISBN-13: 1475545428
DOWNLOAD EBOOKThis paper investigates possible drivers of volatility in the South African rand since the onset of the global financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market-based implied volatility indicator for the rand / U.S. dollar exchange rate. Economic surprises—the difference between market expectations and data prints—are captured by Citi’s Economic Surprise Index which is available for South Africa and its main economic partners. The results suggest that rand volatility is mainly driven by commodity price volatility, and global market volatility, as well as domestic political uncertainty. In addition, economic surprises originating in the United States matter, but not those originating from South Africa, Europe, or China.
Author: Kombe Oswald Mungule
Publisher:
Published: 2004
Total Pages: 72
ISBN-13:
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