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dc.contributor.authorEgert, Balazsen
dc.date.accessioned2012-08-03-
dc.date.accessioned2012-08-20T10:36:46Z-
dc.date.available2012-08-20T10:36:46Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3853en
dc.subject.jelE31en
dc.subject.jelF31en
dc.subject.jelO11en
dc.subject.jelP17en
dc.subject.ddc330en
dc.subject.keywordexchange rateen
dc.subject.keywordreal exchange rateen
dc.subject.keywordnominal exchange rateen
dc.subject.keywordcommodityen
dc.subject.keywordBalassa-Samuelsonen
dc.subject.keywordproductivityen
dc.subject.keywordmonetary modelen
dc.subject.keywordstock-flow approachen
dc.subject.keywordopennessen
dc.subject.keywordcountry risken
dc.subject.stwKaufkraftparitäten
dc.subject.stwWechselkurstheorieen
dc.subject.stwRobustes Verfahrenen
dc.subject.stwSchätzungen
dc.subject.stwSüdafrikaen
dc.titleNominal and real exchange rate models in South Africa: How robust are they?-
dc.typeWorking Paperen
dc.identifier.ppn720586828en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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