Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies

Guglielmo Maria Caporale and Luis A. Gil‐Alana
Authors registered in the RePEc Author Service: Luis Alberiko Gil-Alana

African Development Review, 2015, vol. 27, issue 2, 161-170

Abstract: This paper tests the PPP hypothesis for the South African rand/US dollar real exchange rate using a fractional integration framework. The results suggest that the real exchange rate of the South African rand with respect to the US dollar is a highly dependent variable with an order of integration very close to 1. This finding is not affected by the data frequency considered (daily, weekly or monthly). Also, there appears to be a single break in December 2001 (possibly corresponding to a change in the monetary policy framework), with the unit root null being rejected in favour of d > 1 for the periods before the break, but not afterwards. Thus, our results strongly reject the PPP hypothesis for the South African rand/US dollar rate across data frequencies, since shocks are found to affect the exchange rate forever.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://doi.org/10.1111/1467-8268.12131

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:afrdev:v:27:y:2015:i:2:p:161-170

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1017-6772

Access Statistics for this article

African Development Review is currently edited by John C. Anyanwu, Hassan Aly and Kupukile Mlambo

More articles in African Development Review from African Development Bank Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().