The HighFrequency Response of the RandDollar Rate to Inflation Surprises

Greg Farrell, Dr. Shakill Hassan and Nicola Viegi

No 5028, Working Papers from South African Reserve Bank

Abstract: We examine the high-frequency response of the rand-dollar nominal rate within ten-minute intervals around (five minutes before, five minutes after) official inflation announcements, and show that the rand appreciates (resp., depreciates) on impact when inflation is higher (resp., lower) than expected evidence that bad news about inflation is good news for the currency. The effect only applies after the adoption of inflation targeting. Our findings are rationalizable by the belief, among market participants, in a credible (though perhaps not particularly aggressive) inflation targeting policy in South Africa; and can be used to monitor changes in currency market perceptions about the monetary policy regime.

Date: 2012-05-03
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.resbank.co.za/content/dam/sarb/publicat ... 2012/5028/WP1203.pdf Revision (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Status read failed: An existing connection was forcibly closed by the remote host.

Related works:
Working Paper: The High-Frequency Response of the Rand-Dollar Rate to Inflation Surprises (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rbz:wpaper:5028

Access Statistics for this paper

More papers in Working Papers from South African Reserve Bank Contact information at EDIRC.
Bibliographic data for series maintained by Jessica VanWyk ().