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F31

Foreign Exchange

Publication

Exchange Rate Policy and Export Performance in Efficiency-Driven Economies

Nicola Kim Rowbotham, Adrian Saville & Douglas Mbululu
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,...
Oct 2014
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Publication

Nonlinear Econometric Approaches in Testing PPP of SADC Economies towards Monetary Union

Mulatu F. Zerihun, Marthinus C. Breitenbach and Francis Kemegue
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...
Feb 2014
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Publication

Copius Structural Shifts in Exchange Rates of the South African Rand (Post-1994): Do They Matter (for Unit Root Testing)? What are the Most Likely Triggers?

Cyril May
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...
Jul 2013
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Publication

Monetary Policy Response to Foreign Aid in an Estimated DSGE Model of Malawi

Chance Mwabutwa, Manoel Bittencourt and Nicola Viegi
This paper estimates a Bayesian Dynamic Stochastic General Equilibrium (DSGE) model of Malawi and uses it to account for short-run monetary policy response to aid inflows between 1980 and 2010. In particular, the paper evaluates the existence of a “Dutch Disease” following an increase in foreign...
May 2013
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Publication

The High-Frequency Response of the Rand-Dollar rate to Inflation Surprises

Greg Farrell, Shakill Hassan and Nicola Viegi
We examine the high-frequency response of the rand-dollar nominal rate within ten-minute intervals around (five minutes before, five minutes after) official inflation announcements, and show that the rand appreciates (respectively, depreciates) on impact when inflation is higher (respectively,...
Mar 2012
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Publication

Remittances and the Dutch disease in Sub-Saharan Africa. A Dynamic Panel Approach

Francis M. Kemegue, Reneé van Eyden and Emmanuel Owusu-Sekyere
This paper investigates the effect of remittance inflows on the real exchange rate in Sub-Saharan Africa (SSA) using annual data from 1980 to 2008 for 34 SSA countries, generalised method of moments by Arellano and Bover (1995) and feasible generalised least squares by Parks (1967) and Kmenta (1971...
Nov 2011
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Publication

Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa

Lumengo Bonga-Bonga and Jamela Hoveni
This paper attempts to assess the extent of volatility spillovers between the equity market and the foreign exchange market in South Africa. The multi-step family of GARCH models are used for this end, whereby volatility shocks obtained from the mean equation estimation in each market are included...
Oct 2011
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Publication

The Rand as a Carry Trade Target: Risk, Returns and Policy Implications

Shakill Hassan and Sean Smith
We analyze the returns to targeting the Australian, New Zealand, and South African currencies, through Japanese yen-funded speculation - with a particular focus on the South African rand, for which the carry trade is often seen as a source of exchange rate volatility. Targeting the rand through...
Aug 2011
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Publication

Modelling South African Currency Crises as Structural Changes in the Volatility of the Rand

Andrew S Duncan and Guangling D Liu
This study tests the theory that currency crises are associated with sudden large changes in the structure of foreign exchange market volatility. Due to increases in market uncertainty, crisis periods exhibit abnormally high levels of volatility. By studying short-term changes in volatility...
Jul 2009
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