Economics at your fingertips  

The High-Frequency Response of the Rand-Dollar Rate to Inflation Surprises

Greg Farrell (), Shakill Hassan () and Nicola Viegi ()
Additional contact information
Shakill Hassan: South African Reserve Bank and University of Cape Town

No 201215, Working Papers from University of Pretoria, Department of Economics

Abstract: We examine the high-frequency response of the rand-dollar nominal rate within ten-minute intervals around five minutes before, five minutes after) official inflation announcements, and show that the rand appreciates (respectively, depreciates) on impact when inflation is higher (respectively, lower) than expected. The effect only applies after the adoption of inflation targeting, and is stronger for good news. Our findings are rationalisable by the belief, among market participants, in a credible (though perhaps not particularly aggressive) inflation targeting policy in South Africa; and can be used to monitor changes in currency market perceptions about the monetary policy regime.

Keywords: High-frequency exchange rates; inflation surprises; Taylor rules; inflation targeting; credibility (search for similar items in EconPapers)
JEL-codes: E31 E52 F30 F31 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2012-05
New Economics Papers: this item is included in nep-afr, nep-cba, nep-mac, nep-mon and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
Working Paper: The HighFrequency Response of the RandDollar Rate to Inflation Surprises (2012) Downloads
Working Paper: The High-Frequency Response of the Rand-Dollar rate to Inflation Surprises (2012) Downloads
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:

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

Page updated 2021-07-28
Handle: RePEc:pre:wpaper:201215