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

Mostrar otras versiones (1)

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...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Arezki, Rabah (Autor)
Autor Corporativo: International Monetary Fund. Institute for Capacity Development
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2012.
Colección:IMF working paper ; WP/12/168.
Temas:
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
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

Ejemplares similares