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Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization
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| 자료유형 | 단행본 |
|---|---|
| 서명/저자사항 | Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization/ prepared by Rabah Arezki [and others]. |
| 개인저자 | Arezki, Rabah,author, |
| 단체저자명 | International Monetary Fund. Institute for Capacity Development. |
| 발행사항 | [Washington, D.C.]: International Monetary Fund, ?012. |
| 형태사항 | 1 online resource (19 pages). |
| 총서사항 | IMF working paper;WP/12/168 |
| 기타형태 저록 | Print version: Dumitrescu, Elena. Commodity Prices and Exchange Rate Volatility: Lessons from South Africa's Capital Account Liberalization. Washington : International Monetary Fund, ?012 9781475505160 |
| ISBN | 9781475511024 1475511027 9781475563504 1475563507 |
| 일반주기 |
Title from PDF title page (IMF Web site, viewed Jun. 29, 2012).
"Institute for Capacity Development." "June 2012." |
| 서지주기 | Includes bibliographical references. |
| 내용주기 | 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. |
| 요약 | 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. |
| 주제명(지명) | South Africa. --fast |
| 일반주제명 | Gold --Prices --South Africa. Rand area --South Africa. Foreign exchange rates --South Africa. BUSINESS & ECONOMICS --Finance. Foreign exchange rates. Gold --Prices. Rand area. |
| 언어 | 영어 |
| 바로가기 |  |
