The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate Evidence from South Africa
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 dollar-euro exchange rate on change...
| Autor principal: | |
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| Formato: | Capítulo de libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Paris :
OECD Publishing
2009.
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| Colección: | OECD Economics Department Working Papers,
no.692. |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009706012506719 |
| Sumario: | 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 dollar-euro 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. |
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| Descripción Física: | 1 online resource (28 p. ) |
