Exchange Rate Volatility and Oil Prices in South Africa

Nyiko Worship Hlongwane, Olebogeng David Daw, Leeto Shogole and Selinah Ribese
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Nyiko Worship Hlongwane: North-West University
Olebogeng David Daw: North-West University
Leeto Shogole: North-West University
Selinah Ribese: North-West University

International Journal of Energy Economics and Policy, 2022, vol. 12, issue 3, 315-322

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.

Keywords: oil prices; exchange rate volatility; TGARCH; SARB; South Africa (search for similar items in EconPapers)
JEL-codes: C22 Q31 Q41 Q43 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2022-03-34

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