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
  
Title:The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate: evidence from South Africa PDF Logo
Authors:Égert, Balázs
Issue Date: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
Appears in Collections:CESifo Working Papers, CESifo Group Munich

Files in This Item:
File Description SizeFormat
599456930.PDF250.12 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/26657

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.