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https://hdl.handle.net/10419/26657
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Égert, Balázs | en |
dc.date.accessioned | 2009-05-08 | - |
dc.date.accessioned | 2009-07-28T08:49:30Z | - |
dc.date.available | 2009-07-28T08:49:30Z | - |
dc.date.issued | 2009 | - |
dc.identifier.uri | http://hdl.handle.net/10419/26657 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aCenter for Economic Studies and ifo Institute (CESifo) |cMunich | en |
dc.relation.ispartofseries | |aCESifo Working Paper |x2612 | en |
dc.subject.jel | E31 | en |
dc.subject.jel | F31 | en |
dc.subject.jel | O11 | en |
dc.subject.jel | P17 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | exchange rate | en |
dc.subject.keyword | nonlinearity | en |
dc.subject.keyword | commodity prices | en |
dc.subject.keyword | monetary model | en |
dc.subject.keyword | macroeconomic news | en |
dc.subject.keyword | central bank communication | en |
dc.subject.keyword | South Africa | en |
dc.subject.stw | Wechselkurs | en |
dc.subject.stw | US-Dollar | en |
dc.subject.stw | Volatilität | en |
dc.subject.stw | Zentralbank | en |
dc.subject.stw | Staatliche Information | en |
dc.subject.stw | Südafrika | en |
dc.title | The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate: evidence from South Africa | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 599456930 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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