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EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/26657
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Égert, Balázs | | en_US |
| dc.date.accessioned | | 2009-05-08 | | en_US |
| dc.date.accessioned | | 2009-07-28T08:49:30Z | | - |
| dc.date.available | | 2009-07-28T08:49:30Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/26657 | | - |
| 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 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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | CESifo München | | en_US |
| dc.relation.ispartofseries | | CESifo working paper 2612 | | en_US |
| dc.subject.jel | | E31 | | en_US |
| dc.subject.jel | | F31 | | en_US |
| dc.subject.jel | | O11 | | en_US |
| dc.subject.jel | | P17 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | exchange rate | | en_US |
| dc.subject.keyword | | nonlinearity | | en_US |
| dc.subject.keyword | | commodity prices | | en_US |
| dc.subject.keyword | | monetary model | | en_US |
| dc.subject.keyword | | macroeconomic news | | en_US |
| dc.subject.keyword | | central bank communication | | en_US |
| dc.subject.keyword | | South Africa | | en_US |
| dc.subject.stw | | Wechselkurs | | en_US |
| dc.subject.stw | | US-Dollar | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Zentralbank | | en_US |
| dc.subject.stw | | Staatliche Information | | en_US |
| dc.subject.stw | | Südafrika | | 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.identifier.ppn | | 599456930 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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