Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26657
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dc.contributor.authorÉgert, Balázsen_US
dc.date.accessioned2009-05-08en_US
dc.date.accessioned2009-07-28T08:49:30Z-
dc.date.available2009-07-28T08:49:30Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/26657-
dc.description.abstractThis 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_US
dc.language.isoengen_US
dc.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo working paper|x2612en_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.keywordnonlinearityen_US
dc.subject.keywordcommodity pricesen_US
dc.subject.keywordmonetary modelen_US
dc.subject.keywordmacroeconomic newsen_US
dc.subject.keywordcentral bank communicationen_US
dc.subject.keywordSouth Africaen_US
dc.subject.stwWechselkursen_US
dc.subject.stwUS-Dollaren_US
dc.subject.stwVolatilitäten_US
dc.subject.stwZentralbanken_US
dc.subject.stwStaatliche Informationen_US
dc.subject.stwSüdafrikaen_US
dc.titleThe impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate: evidence from South Africaen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn599456930en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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