@techreport{Egert2009impact,
abstract = {This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-\`{a}-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.},
address = {M\"{u}nchen},
author = {Bal\'{a}zs \'{E}gert},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E31; F31; O11; P17; 330; exchange rate; nonlinearity; commodity prices; monetary model; macroeconomic news; central bank communication; South Africa; Wechselkurs; US-Dollar; Volatilit\"{a}t; Zentralbank; Staatliche Information; S\"{u}dafrika},
language = {eng},
number = {2612},
publisher = {CESifo},
title = {The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate: evidence from South Africa},
type = {CESifo working paper},
url = {http://hdl.handle.net/10419/26657},
year = {2009}
}
