Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26657
Authors: 
Égert, Balázs
Year of Publication: 
2009
Series/Report no.: 
CESifo working paper 2612
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 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.
Subjects: 
exchange rate
nonlinearity
commodity prices
monetary model
macroeconomic news
central bank communication
South Africa
JEL: 
E31
F31
O11
P17
Document Type: 
Working Paper

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