IDEAS home Printed from https://ideas.repec.org/a/kap/openec/v21y2010i5p655-677.html
   My bibliography  Save this article

The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa

Author

Listed:
  • Balázs Égert

    ()

Abstract

This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on changes in daily returns of the rand-dollar exchange rate. We also identify a one-sided nonlinear mean reversion to the long-term monetary equilibrium. In addition we establish very short-lived effects on the exchange rate of selected macroeconomic surprises and central bank communication aimed at talking up the rand. L'impact des fondamentaux monétaires et de matières premières, des nouvelles macroéconomiques et de la communication de la Banque centrale sur le taux de change : Le cas de l'Afrique du Sud Ce document étudie les facteurs qui peuvent expliquer la dynamique journalière du rand sud-africain vis-à-vis du dollar sur la période allant de janvier 2001 à juillet 2007. Nous trouvons que les prix des matières premières, la perception du risque par rapport à l’Afrique du Sud et aux pays émergents et les changements du taux de change dollar-euro influencent forcément les variations des rendements journalières du taux de change du rand par rapport au dollar de manière non linéaire. Nos résultats indiquent aussi que le rand s’ajuste vers son niveau d’équilibre monétaire de manière non linéaire lorsque le taux de change du marché est plus fort que le taux de change d’équilibre. De plus, il se trouve que certaines nouvelles macroéconomiques et la communication de banque centrale visant l’appréciation du rand exercent une influence de très court terme sur le cours du rand par rapport au dollar.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Balázs Égert, 2010. "The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa," Open Economies Review, Springer, vol. 21(5), pages 655-677, November.
  • Handle: RePEc:kap:openec:v:21:y:2010:i:5:p:655-677
    DOI: 10.1007/s11079-009-9118-8
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11079-009-9118-8
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Matthias Neuenkirch & Pierre Siklos, 2014. "When is Lift-Off? Evaluating Forward Guidance from the Shadow," Open Economies Review, Springer, vol. 25(5), pages 819-839, November.
    2. Bernd Hayo & Ummad Mazhar, 2014. "Monetary Policy Committee Transparency: Measurement, Determinants, and Economic Effects," Open Economies Review, Springer, vol. 25(4), pages 739-770, September.
    3. Égert, Balázs & Kočenda, Evžen, 2014. "The impact of macro news and central bank communication on emerging European forex markets," Economic Systems, Elsevier, vol. 38(1), pages 73-88.
    4. Rafik Nazarian & Ashkan Amiri, 2014. "Asymmetry of the Oil Price Pass–Through to Inflation in Iran," International Journal of Energy Economics and Policy, Econjournals, vol. 4(3), pages 457-464.
    5. Lee, Chin & Law, Chee-Hong, 2013. "The Effects of Trade Openness on Malaysian Exchange Rate," MPRA Paper 45185, University Library of Munich, Germany.

    More about this item

    Keywords

    Exchange rate; Nonlinearity; Commodity prices; Monetary model; Macroeconomic news; Central bank communication; South Africa; E31; F31; O11; P17;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
    • P17 - Economic Systems - - Capitalist Systems - - - Performance and Prospects

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:openec:v:21:y:2010:i:5:p:655-677. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.