The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa

被引：0

作者：

Balázs Égert

机构：

[1] Economics Department,OECD

[2] CESifo,EconomiX

[3] University of Paris X,undefined

[4] William Davidson Institute,undefined

来源：

Open Economies Review | 2010年 / 21卷

关键词：

Exchange rate; Nonlinearity; Commodity prices; Monetary model; Macroeconomic news; Central bank communication; South Africa; E31; F31; O11; P17;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on changes in daily returns of the rand-dollar exchange rate. We also identify a one-sided nonlinear mean reversion to the long-term monetary equilibrium. In addition we establish very short-lived effects on the exchange rate of selected macroeconomic surprises and central bank communication aimed at talking up the rand.

引用

页码：655 / 677

页数：22

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