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Surprise, surprise : what drives the rand/U.S. dollar volatility? /
This paper investigates possible drivers of volatility in the South African rand since the onset of the global financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global market risk perceptions, and local political uncertainty. As a...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
[2016]
|
| Colección: | IMF working paper ;
WP/16/205. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Maveé, Nasha, |e author, |e (IMF staff) | |
| 245 | 1 | 0 | |a Surprise, surprise : |b what drives the rand/U.S. dollar volatility? / |c prepared by Nasha Maveé, Roberto Perrelli, and Axel Schimmelpfennig. |
| 246 | 3 | 0 | |a What drives the rand/U.S. dollar volatility? |
| 264 | 1 | |a [Washington, D.C.] : |b International Monetary Fund, |c [2016] | |
| 264 | 4 | |c ©2016 | |
| 300 | |a 1 online resource (38 pages) : |b color illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/16/205 | |
| 500 | |a "October 2016." | ||
| 500 | |a At head of title: International Monetary Fund, African Department and Strategy, Policy, and Review Department Department. | ||
| 504 | |a Includes bibliographical references (pages 34-36). | ||
| 520 | 3 | |a This paper investigates possible drivers of volatility in the South African rand since the onset of the global financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market-based implied volatility indicator for the rand / U.S. dollar exchange rate. Economic surprises--the difference between market expectations and data prints--are captured by Citi's Economic Surprise Index which is available for South Africa and its main economic partners. The results suggest that rand volatility is mainly driven by commodity price volatility, and global market volatility, as well as domestic political uncertainty. In addition, economic surprises originating in the United States matter, but not those originating from South Africa, Europe, or China. | |
| 588 | 0 | |a Online resource; title from pdf title page (IMF.org Web site, viewed November 28, 2016). | |
| 505 | 0 | |a Cover; Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility?; I. INTRODUCTION; II. LITERATURE REVIEW; III. DATA; IV. CONTINUOUS TIME APPROACH; V. SENSITIVITY ANALYSIS; VI. EVENT STUDY ANALYSIS; VII. CONCLUSION; APPENDIX; References. | |
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Money |z South Africa. | |
| 650 | 0 | |a Dollar, American. | |
| 650 | 0 | |a Foreign exchange rates |z South Africa. | |
| 650 | 0 | |a Foreign exchange rates |z United States. | |
| 650 | 6 | |a Dollar américain. | |
| 650 | 6 | |a Taux de change |z Afrique du Sud. | |
| 650 | 6 | |a Taux de change |z États-Unis. | |
| 650 | 7 | |a Dollar, American |2 fast | |
| 650 | 7 | |a Foreign exchange rates |2 fast | |
| 650 | 7 | |a Money |2 fast | |
| 651 | 7 | |a South Africa |2 fast | |
| 651 | 7 | |a United States |2 fast | |
| 700 | 1 | |a Perrelli, Roberto, |e author, |e (IMF staff) | |
| 700 | 1 | |a Schimmelpfennig, Axel, |e author, |e (IMF staff) | |
| 710 | 2 | |a International Monetary Fund, |e publisher. | |
| 710 | 2 | |a International Monetary Fund. |b African Department, |e issuing body. | |
| 710 | 2 | |a International Monetary Fund. |b Strategy, Policy, and Review Department, |e issuing body. | |
| 776 | 0 | 8 | |i Print version: |a Mavee, Nasha. |t Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility? |d Washington, D.C. : International Monetary Fund,2016 |z 9781475545425 |
| 830 | 0 | |a IMF working paper ; |v WP/16/205. | |
| 856 | 4 | 0 | |u https://ebsco.uam.elogim.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1428971 |z Texto completo |
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| 938 | |a EBSCOhost |b EBSC |n 1428971 | ||
| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n cis36894573 | ||
| 994 | |a 92 |b IZTAP | ||