Exchange rate expectations and exchange rate behaviour in the South African context

S. Msomi and H. Ngalawa

Studies in Economics and Econometrics, 2024, vol. 48, issue 1, 1-17

Abstract: The literature maintains that exchange rate movements are largely dependent on expectations formed by economic agents. The study attempts to understand the impact of exchange rate expectations on the behaviour of the exchange rates. We use the Markov Switch Model to estimate the probability of the exchange rates transitioning from regime-to-regime. The study finds that the exchange rate movement is asymmetric to its expectations.

Date: 2024
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DOI: 10.1080/03796205.2023.2254501

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