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Is the rand at fair value?

Author

Listed:
  • Guest, Oliver
  • Steenkamp, Daan

Abstract

This paper assesses whether the rand has been misaligned relative to its economic fundamentals compared to the dollar. Using a Bayesian regime‐switching Vector Error Correction model that allows for the drivers of exchange rate movements to change over time, we show that the historical dynamics of the value of the rand can be explained by a small number of macroeconomic fundamentals.

Suggested Citation

  • Guest, Oliver & Steenkamp, Daan, 2026. "Is the rand at fair value?," EconStor Research Reports 336005, ZBW - Leibniz Information Centre for Economics.
    • Handle: RePEc:zbw:esrepo:336005
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    File URL: https://www.econstor.eu/bitstream/10419/336005/1/Codera_Is_the_ZAR_at_fair_value.pdf
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    More about this item

    Keywords

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    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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