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

Listed author(s):
  • Balázs Égert

    (OECD)

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.

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File URL: http://dx.doi.org/10.1787/224472688177
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Paper provided by OECD Publishing in its series OECD Economics Department Working Papers with number 692.

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Date of creation: 08 Apr 2009
Handle: RePEc:oec:ecoaaa:692-en
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