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...
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| Format: | eBook |
| Language: | English |
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Paris
OECD Publishing
2009
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| Series: | OECD Economics Department Working Papers
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| Collection: | OECD Books and Papers - Collection details see MPG.ReNa |
| Summary: | 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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| Physical Description: | 28 p. 21 x 29.7cm |