Commodity Prices and Exchange Rate Volatility; Lessons from South Africa’s Capital Account Liberalization
Elena Ivona Dumitrescu,
Rabah Arezki (),
Andreas Freytag () and
No 12/168, IMF Working Papers from International Monetary Fund
We examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980-2010. Our main findings is that prior to capital account liberalization the causality runs from South African Rand to gold price volatility but the causality runs the other way around for the post-liberalization period. These findings suggest that gold price volatility plays a key role in explaining both the excessive exchange rate volatility and current disproportionate share of speculative (short-run) inflows that South Africa has been coping with since the opening up of its capital account.
Keywords: Exchange rates; Commodities; Commodity price fluctuations; Capital account liberalization; Gold prices; Exchange rate, volatility, financial flows, reer, real exchange rate, exchange rate volatility (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-afr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed
Downloads: (external link)
Journal Article: Commodity prices and exchange rate volatility: Lessons from South Africa's capital account liberalization (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:12/168
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Jim Beardow ().