The determinants of real exchange rate volatility in South Africa

Trust Mpofu ()

The World Economy, 2021, vol. 44, issue 5, 1380-1401

Abstract: This paper investigates the determinants of medium to long‐run real exchange rate volatility in South Africa over the period 1986–2015. The main objective of the paper is to analyse the impact of trade openness on real exchange rate volatility following conflicting results offered by empirical studies. Employing the Autoregressive Distributed Lag (ARDL) cointegration approach and using a variety of specifications and robustness tests, results show that trade openness has an impact on real exchange rate volatility. The interaction term of trade openness and the dummy variable for capital account liberalisation leads to a significant negative impact on real exchange rate volatility. Furthermore, findings indicate that volatility of output, commodity prices, money supply and government consumption, and the exchange rate regime significantly influence rand volatility.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.1111/twec.13013

Related works:
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:bla:worlde:v:44:y:2021:i:5:p:1380-1401

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0378-5920

Access Statistics for this article

The World Economy is currently edited by David Greenaway

More articles in The World Economy from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().