What DCC-GARCH model tell us about the effect of the gold price’s volatility on south african exchange rate?

Léleng Kebalo ()
Additional contact information
Léleng Kebalo: University of Lome, Togo

Journal of Economics Library, 2016, vol. 3, issue 4, 570-582

Abstract: The aim of this paper is to study through a model rarely used and little known, the effect of the gold price’s volatility on the south african real exchange rate. More precisely, it is to show that, through the dynamic conditional correlation (DCC) GARCH model; we get results that are consistent with economic works (Frankel, 2007) on the relationship between gold price’s volatility and the real exchange rate. The period retained in this research paper going from May 1995 to April 2014 and the frequency of the data is monthly. After analysis, we find that in the short term, the real exchange rate is more sensitive to its own volatility, compared to the effect of the volatility of gold price. This last effect, although high, is less persistent on the real exchange rate.

Keywords: Volatility; Exchange rate; Gold price; DCC-GARCH (search for similar items in EconPapers)
JEL-codes: C50 F30 F40 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.kspjournals.org/index.php/JEL/article/download/1018/1114 (application/pdf)
http://www.kspjournals.org/index.php/JEL/article/view/1018 (text/html)

Related works:
Working Paper: What DCC-GARCH model tell us about the effect of the gold price's volatility on south african exchange rate? (2014)
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:ksp:journ5:v:3:y:2016:i:4:p:570-582

Access Statistics for this article

Journal of Economics Library is currently edited by Bilal KARGI

More articles in Journal of Economics Library from KSP Journals Istanbul, Turkey.
Bibliographic data for series maintained by Bilal KARGI ( this e-mail address is bad, please contact ).