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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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.
Or > Prix > Afrique du Sud.
Zone rand.
Taux de change > Afrique du Sud.
BUSINESS & ECONOMICS > Finance.
Foreign exchange rates.
Gold > Prices.
Rand area.
prices.
South Africa.
Acceso en línea:Texto completo

MARC

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049 |a UAMI 
245 0 0 |a Commodity prices and exchange rate volatility :  |b lessons from South Africa's capital account liberalization /  |c prepared by Rabah Arezki [and others]. 
260 |a [Washington, D.C.] :  |b International Monetary Fund,  |c ©2012. 
300 |a 1 online resource (19 pages) 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
340 |g polychrome.  |2 rdacc  |0 http://rdaregistry.info/termList/RDAColourContent/1003 
347 |a data file 
490 1 |a IMF working paper ;  |v WP/12/168 
500 |a Title from PDF title page (IMF Web site, viewed June 29, 2012). 
520 |a 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 around for the post-liberalization period. These findings suggest that gold price volatility plays a key role in explaining both the excessive exchange rate volatility and current disproportionate share of speculative (short-run) inflows that South Africa has been coping with since the opening up of its capital account. 
504 |a Includes bibliographical references. 
500 |a "Institute for Capacity Development." 
500 |a "June 2012." 
505 0 |a 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. 
505 8 |a 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. 
546 |a English. 
590 |a eBooks on EBSCOhost  |b EBSCO eBook Subscription Academic Collection - Worldwide 
650 0 |a Gold  |x Prices  |z South Africa. 
650 0 |a Rand area  |z South Africa. 
650 0 |a Foreign exchange rates  |z South Africa. 
650 6 |a Or  |x Prix  |z Afrique du Sud. 
650 6 |a Zone rand. 
650 6 |a Taux de change  |z Afrique du Sud. 
650 7 |a BUSINESS & ECONOMICS  |x Finance.  |2 bisacsh 
650 7 |a Foreign exchange rates.  |2 fast  |0 (OCoLC)fst00931816 
650 7 |a Gold  |x Prices.  |2 fast  |0 (OCoLC)fst00944389 
650 7 |a Rand area.  |2 fast  |0 (OCoLC)fst01089786 
651 7 |a South Africa.  |2 fast  |0 (OCoLC)fst01204616 
650 7 |a prices.  |2 aat 
700 1 |a Arezki, Rabah,  |e author. 
710 2 |a International Monetary Fund.  |b Institute for Capacity Development. 
776 0 8 |i Print version:  |a Dumitrescu, Elena.  |t Commodity Prices and Exchange Rate Volatility: Lessons from South Africa's Capital Account Liberalization.  |d Washington : International Monetary Fund, ©2012  |z 9781475505160 
830 0 |a IMF working paper ;  |v WP/12/168. 
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