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dc.contributor.authorÉgert, Balázsen
dc.date.accessioned2009-05-08-
dc.date.accessioned2009-07-28T08:49:30Z-
dc.date.available2009-07-28T08:49:30Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2612en
dc.subject.jelE31en
dc.subject.jelF31en
dc.subject.jelO11en
dc.subject.jelP17en
dc.subject.ddc330en
dc.subject.keywordexchange rateen
dc.subject.keywordnonlinearityen
dc.subject.keywordcommodity pricesen
dc.subject.keywordmonetary modelen
dc.subject.keywordmacroeconomic newsen
dc.subject.keywordcentral bank communicationen
dc.subject.keywordSouth Africaen
dc.subject.stwWechselkursen
dc.subject.stwUS-Dollaren
dc.subject.stwVolatilitäten
dc.subject.stwZentralbanken
dc.subject.stwStaatliche Informationen
dc.subject.stwSüdafrikaen
dc.titleThe impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate: evidence from South Africa-
dc.typeWorking Paperen
dc.identifier.ppn599456930en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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