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

Balázs Égert

No wp955, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: 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 dollareuro 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.

Keywords: Exchange rate; nonlinearity; commodity prices; monetary model; macroeconomic news; central bank communication; South Africa (search for similar items in EconPapers)
JEL-codes: E31 F31 O11 P17 (search for similar items in EconPapers)
Pages: pages
Date: 2009-04-01
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa (2010)
Working Paper: The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa (2009)
Working Paper: The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:wdi:papers:2009-955

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