Modelling the oil price –exchange rate nexus for South Africa

Babajide Fowowe

International Economics, 2014, issue 140, 36-48

Abstract: This paper conducts an empirical analysis of the relationship between oil prices and exchange rates in South Africa. We model the volatility and jumps in exchange rate returns by using the GARCH autoregressive conditional jump intensity model of Chan and Maheu which models the effects of extreme news events (jumps) in returns. The empirical results show that oil price increases lead to a depreciation of the South African rand relative to the US dollar. This finding suggests that oil price increases have led to a transfer of wealth from South Africa to the OPEC countries.

Keywords: Exchange rate; Oil price; Jumps; GARCH; South Africa (search for similar items in EconPapers)
JEL-codes: C22 F31 G15 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2110701714000353 (text/html)

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:cii:cepiie:2014-q4-140-3

Access Statistics for this article

More articles in International Economics from CEPII research center Contact information at EDIRC.
Bibliographic data for series maintained by ().