Commodity prices and exchange rate volatility lessons from South Africa's capital account liberalization
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 aro...
| Autor Corporativo: | |
|---|---|
| Otros Autores: | |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund
cop. 2012.
|
| Colección: | EBSCO Academic eBook Collection Complete.
IMF working paper ; WP/12/168. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b33433793*spi |
Tabla de Contenidos:
- Cover; Abstract; Contents; I. Introduction; II. The Literature; III. Empirical Strategy; A. Data; B. Time Series Properties and Econometric Techniques; IV. Main Results; V. Robustness; VI. Conclusion; References; Figures; Figure 1. Evolution of Gold Prices and South Africa Rand Real Exchange Rate; Figure 2. Volatility of Gold Prices and South Africa Rand Real Exchange Rate; Tables; Table 1 Johansen Cointegration Test Results on Pre-Capital Account Liberalization; Table 2 Johansen Cointegration Test Results on Post-Capital Account Liberalization.
- Table 3 Lagrange Multiplier Test for Residual AutocorelationTable 4 VECM Results for Pre-Capital Account Liberalization Sample; Table 5 Post-Capital Account Liberalization VECM Results; Table 6 Testing Weak Exogeneity.
