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Exchange Rate Volatility and Oil Prices in South Africa

Author

Listed:
  • Nyiko Worship Hlongwane

    (North-West University)

  • Olebogeng David Daw

    (North-West University)

  • Leeto Shogole

    (North-West University)

  • Selinah Ribese

    (North-West University)

Abstract

The study examines the oil prices and exchange rate volatilities in South Africa. The study employs monthly time series data spanning for the period from 1960 M1 to 2021M11 using data collected from the SARB. The study employs a TGARCH model to analyse the volatilities between oil prices and exchange rate. The study found that oil prices have a negative statistically significant impact on the exchange rates in South Africa. The study therefore recommends that the monetary authorities must monitor oil prices as they have an ability to cause exchange rate volatilities.

Suggested Citation

  • Nyiko Worship Hlongwane & Olebogeng David Daw & Leeto Shogole & Selinah Ribese, 2022. "Exchange Rate Volatility and Oil Prices in South Africa," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 315-322, May.
    • Handle: RePEc:eco:journ2:2022-03-34
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    oil prices; exchange rate volatility; TGARCH; SARB; South Africa;
    All these keywords.

    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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