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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/26657
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| Title: | | The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate: evidence from South Africa  |
| 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
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