Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization /

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We examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980-2010. Our main findings is that prior to capital account liberalization the causality runs from South African Rand to gold price volatility but the causality runs the other way aro...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Arezki, Rabah (Author)
Corporate Author: International Monetary Fund. Institute for Capacity Development
Format: Electronic eBook
Language:Inglés
Published: [Washington, D.C.] : International Monetary Fund, ©2012.
Series:IMF working paper ; WP/12/168.
Subjects:
Gold > Prices > South Africa.
Rand area > South Africa.
Foreign exchange rates > South Africa.
Rand area.
Or > Prix > Afrique du Sud.
Zone rand.
Taux de change > Afrique du Sud.
Prix.
prices.
BUSINESS & ECONOMICS > Finance.
Foreign exchange rates
Gold > Prices
Rand area
South Africa
Online Access:Texto completo
Table of Contents:
  • Cover; Abstract; Contents; I. Introduction; II. The Literature; III. Empirical Strategy; A. Data; B. Time Series Properties and Econometric Techniques; IV. Main Results; V. Robustness; VI. Conclusion; References; Figures; Figure 1. Evolution of Gold Prices and South Africa Rand Real Exchange Rate; Figure 2. Volatility of Gold Prices and South Africa Rand Real Exchange Rate; Tables; Table 1 Johansen Cointegration Test Results on Pre-Capital Account Liberalization; Table 2 Johansen Cointegration Test Results on Post-Capital Account Liberalization.
  • Table 3 Lagrange Multiplier Test for Residual AutocorelationTable 4 VECM Results for Pre-Capital Account Liberalization Sample; Table 5 Post-Capital Account Liberalization VECM Results; Table 6 Testing Weak Exogeneity.

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