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The role of the rand as a shock absorber

Author

Listed:
  • Daan Steenkamp
  • Luchelle Soobyah

Abstract

This paper investigates the impact of rand shocks on industry output and various other South African macroeconomic variables. We use a factor augmented model, which has the key advantage of providing a rich narrative about the disaggregated impacts of exchange rate shocks. We show that the currency tends to react to changes in the relative […]

Suggested Citation

  • Daan Steenkamp & Luchelle Soobyah, 2019. "The role of the rand as a shock absorber," Working Papers 790, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:790
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    Cited by:

    1. Christopher Loewald, 2021. "Macro works applying integrated policy frameworks to South Africa," Working Papers 11016, South African Reserve Bank.
    2. Christopher Loewald, 2021. "Macro works a decisiontree approach to exchange rate policy," Working Papers 11009, South African Reserve Bank.
    3. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Risk and Return Spillovers in a Global Model of the Foreign Exchange Network," Working Papers 11014, South African Reserve Bank.
    4. Patrick Honohan & Athanasios Orphanides, 2022. "Monetary policy in South Africa, 2007-21," WIDER Working Paper Series wp-2022-29, World Institute for Development Economic Research (UNU-WIDER).
    5. Douglas Barrios & Federico Sturzenegger & Frank Muci & Patricio Goldstein & Ricardo Hausmann, 2022. "Macroeconomic risks after a decade of microeconomic turbulence: South Africa 2007-2020," CID Working Papers 404, Center for International Development at Harvard University.

    More about this item

    Keywords

    Macroeconomic Models; Monetary Policy; Other Macroeconomic Variables;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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