Is the rand at fair value?

Oliver Guest and Daan Steenkamp

EconStor Research Reports from ZBW - Leibniz Information Centre for Economics

Abstract: This paper assesses whether the rand has been misaligned relative to its economic fundamentals compared to the dollar. Using a Bayesian regime‐switching Vector Error Correction model that allows for the drivers of exchange rate movements to change over time, we show that the historical dynamics of the value of the rand can be explained by a small number of macroeconomic fundamentals.

Keywords: Exchange Rate Misalignment; Bayesian Error Correction Model; South African Rand (search for similar items in EconPapers)
JEL-codes: C11 C24 C53 F31 (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:esrepo:336005

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