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dc.contributor.authorEgert, Balazsen_US
dc.date.accessioned2012-08-03en_US
dc.date.accessioned2012-08-20T10:36:46Z-
dc.date.available2012-08-20T10:36:46Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/60998-
dc.description.abstractThis paper addresses difficulties in modelling exchange rates in South Africa. Real exchange rate models of earlier research seem to be sensitive to the sample period considered, alternative variable definition, data frequency and estimation methods. Alternative exchange rate models proposed in this paper including the stock-flow approach and variants of the monetary model are not fully robust to data frequency and alternative estimation periods, either. Nevertheless, adding openness to the stock-flow approach and augmenting the monetary model with share prices and the country risk premium improves significantly the fit of the models around the large (nominal and real) depreciation episodes of 2002 and 2008. Interestingly, real commodity prices do not help explain the large depreciations. While these models do a reasonably good job in-sample, their out-of-sample forecasting properties remain poor.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo Working Paper: Monetary Policy and International Finance 3853en_US
dc.subject.jelE31en_US
dc.subject.jelF31en_US
dc.subject.jelO11en_US
dc.subject.jelP17en_US
dc.subject.ddc330en_US
dc.subject.keywordexchange rateen_US
dc.subject.keywordreal exchange rateen_US
dc.subject.keywordnominal exchange rateen_US
dc.subject.keywordcommodityen_US
dc.subject.keywordBalassa-Samuelsonen_US
dc.subject.keywordproductivityen_US
dc.subject.keywordmonetary modelen_US
dc.subject.keywordstock-flow approachen_US
dc.subject.keywordopennessen_US
dc.subject.keywordcountry risken_US
dc.subject.stwKaufkraftparitäten_US
dc.subject.stwWechselkurstheorieen_US
dc.subject.stwRobustes Verfahrenen_US
dc.subject.stwSchätzungen_US
dc.subject.stwSüdafrikaen_US
dc.titleNominal and real exchange rate models in South Africa: How robust are they?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn720586828en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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