Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/26657 
Autor:innen: 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
CESifo Working Paper No. 2612
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
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.
Schlagwörter: 
exchange rate
nonlinearity
commodity prices
monetary model
macroeconomic news
central bank communication
South Africa
JEL: 
E31
F31
O11
P17
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
250.12 kB





Publikationen in EconStor sind urheberrechtlich geschützt.