The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa
dc.contributor.author | Egert, Balazs | en_US |
dc.date.accessioned | 2009-11-17T17:03:30Z | |
dc.date.available | 2009-11-17T17:03:30Z | |
dc.date.issued | 2009-04-01 | en_US |
dc.identifier.other | RePEc:wdi:papers:2009-955 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/64416 | en_US |
dc.description.abstract | This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollareuro exchange rate on changes in daily returns of the rand-dollar exchange rate. We also identify a one-sided nonlinear mean reversion to the long-term monetary equilibrium. In addition we establish very short-lived effects on the exchange rate of selected macroeconomic surprises and central bank communication aimed at talking up the rand. | en_US |
dc.format.extent | 271376 bytes | |
dc.format.extent | 1802 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.relation.ispartofseries | wp955 | en_US |
dc.subject | Exchange Rate, Nonlinearity, Commodity Prices, Monetary Model, Macroeconomic News, Central Bank Communication, South Africa | en_US |
dc.subject.other | E31, F31, O11, P17 | en_US |
dc.title | The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.contributor.affiliationum | William Davidson Institute | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/64416/1/wp955.pdf | |
dc.contributor.authoremail | balazs.egert@oecd.org | en_US |
dc.owningcollname | William Davidson Institute (WDI) - Working Papers |
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