This paper examines the temporal effect of domestic monetary policy surprises on both the levels and volatility of the South African rand/United States dollar exchange rate. The analysis in this ‘event study’ proceeds using intra-day minute-by-minute exchange rate data, repo rate data from the South African Reserve Bank’s scheduled monetary policy announcements, and Bloomberg market consensus repo rate forecasts.
The paper uses Behavioural Equilibrium Exchange Rate methodology to estimate the equilibrium real effective exchange rate of the rand and to establish whether the observed exchange rate is misaligned with this level. The exchange rate’s misalignment behaviour is further explored using a regime switching method. Results endorse the existence of a co-integrating relationship between the exchange rate and terms of trade, external openness, capital flows and government expenditure.
This paper analysed the short- and long-run interactions between the exchange rate and different types of investments in South Africa from 1970 to 2014. The Vector Autoregressive model (VAR), a multivariate Johansen co-integration approach and Granger causality test were conducted to analyse the interactions between the exchange rate and different types of investments. The short-run analysis found that there was a short-run relationship between the exchange rate and different types of investments in South Africa.
South Africa has been struggling to cope with its energy demand. In order to remedy the problem, the government of South Africa has committed itself to pursuing renewable energy as a viable alternative to traditional sources such as fossil fuels. The aim of this study is to understand whether or not the policies pursued by the South African government in the period 1990-2010 have had any effect on the behaviour of consumers and producers of renewable energy.
This paper evaluates the strength of policy coordination in Southern African Development Community (SADC) as well as real effective exchange rate stability as indicative of sensible monetary integration. The underlying hypothesis goes with the assertion that countries meeting OCA conditions face more stable exchange rates. The quantitative analysis encompasses 12 SADC member states over the period 1995-2012.
Increased globalisation, coupled with rising domestic competition, has led a growing number of firms to search beyond their traditional domestic markets for business opportunities in recent years. As a result, export-led economic growth has gained renewed attention amongst policy makers, particularly amongst those in industrialising nations, or so-called efficiency-driven economies.
The theory of purchasing power parity implies that real exchange rate series should be stationary. However, conventional unit root tests on the Southern African Development community (SADC) real exchange rates confirm the existence of a unit root. Such deficiencies in the investigation of the dynamics of real exchange rates in the region calls for nonlinear methods like the method used in this study to be pursued, which may better explain the dynamics of real exchange rates in SADC.
This paper presents a overview and discussion of facts and research findings on South African equity, currency, bond and derivatives markets. It is not a comprehensive literature review, but rather an assessment of where we stand - how the markets have developed, how
the main markets compare internationally, what do we have a firm understanding of, and what are (some of) the areas in most evident need for further research.
There is a theoretical case for real exchange rates to be stationary, but conventional unit root tests generally find nonstationarity in most economic data expressed in nominal terms; exchange rates in particular. Perron (1989) questioned the latter interpretation on the basis that the presence of a unit root may be a manifestation of not allowing for structural change — a finding reaffirmed later by Zivot and Andrews (1992) and Clemente et al (1998) when single and double sudden and gradual endogenous breakpoints are accounted for in unit root tests.