JEL code: F31

Foreign Exchange

The bond market impact of the South African Reserve Bank bond purchase programme
We use a unique dataset comprising over a million trades and quotes...
Roy Havemann, Rossouw van Jaarsveld, Henk Janse van Vuuren, Daan Steenkamp
Working Paper
Contagion across financial markets during COVID-19: A look at volatility spillovers bet...
The onset of the novel coronavirus pandemic (COVID-19) and previous...
Reneé van Eyden, Goodness C. Aye, Chevaughn van der Westhuizen
Working Paper
Risk and return spillovers in a global model of the Foreign Exchange Network
We developed a network model to capture the dynamic interactions am...
Herbert Ntuli, Gibson Mudiriza, Edwin Muchapondwa, Boscow Okumu, Alfred K. Mukong
Working Paper
Dr Rossouw van Jaarsveld on developing a forex network model: how to highlight risk tra...
Have you ever wondered how sensitive the South African Rand is to s...
Rossouw van Jaarsveld
Podcast
A financial stress index for South Africa: A time-varying correlation approach
This paper develops a new index of financial market stress for Sout...
Theshne Kisten
Working Paper
A New Keynesian DSGE model for low income economies with foreign exchange constraints
The existing literature is clear that low income economies tend to ...
Bertha C. Bangara
Working Paper
The role of the rand as a shock absorber
This paper investigates the impact of rand shocks on industry outpu...
Luchelle Soobyah, Daan Steenkamp
Working Paper
Order flow and rand/dollar exchange rate dynamic
This study investigates the impact of order flow on the rand/dollar...
Alta Joubert, Alain Kabundi, Aadila Hoosain
Policy Brief
Fiscal policy and adjustment in a foreign exchange constrained economy: Evidence from M...
Most of the recent literature analysing the adjustments of macroeco...
Bertha C. Bangara, Amos C. Peters
Policy Brief
The J–Curve Phenomenon: Evidence from Commodity Trade Between South Africa and the Unit...
Previous studies on the J–curve phenomenon for South Africa have be...
Hammed Amusa, David Fadiran
Working Paper
Order flow and rand/dollar exchange rate dynamics
This paper uses the microstructure approach for the South African f...
Alta Joubert, Alain Kabundi, Aadila Hoosain
Working Paper
Real Exchange Rate Volatility and Employment Growth in South Africa: The Case of Manufa...
This paper investigates the effect of exchange rate volatility on e...
Trust R. Mpofu, Eftychia Nikolaidou
Working Paper
Disentangling the exchange rate risk, sectoral export flows and financial development n...
This paper examines the differential responses of various emerging ...
Anmar Pretorius, Heinrich Nel
Working Paper
Nonlinearities in Financial Development–Economic Growth Nexus: Evidence from sub–Sahara...
The impact of financial development on economic growth has received...
Paul Alagidede, Muazu Ibrahim
Policy Brief
Equilibrium Exchange Rates and Misalignments: The Case of Homogenous Emerging Market Ec...
We compute the exchange rate misalignment for a set of emerging eco...
Mulatu F. Zerihun, Marthinus C. Breitenbach, Christian K. Tipoy
Working Paper
Do monetary policy announcements affect foreign exchange returns and volatility? Some e...
Our empirical study addresses the question: How does the South Afri...
Jannie Rossouw, Greg Farrell, Cyril May
Policy Brief
Modelling exchange rate volatility dynamics: Empirical evidence from South Africa
In this paper, we extend the literature on modelling exchange rate ...
Greg Farrell, Cyril May
Working Paper
The impact of Monetary Policy Announcements and Political Events on the Exchange Rate: ...
Since 2000 the South African rand has been among the most volatile ...
Amos C. Peters, Trust R. Mpofu
Working Paper
The behaviour of the real effective rate of South Africa: is there a misalignment
The debate about the equilibrium level of the South African rand an...
Meshach J. Aziakpono, Melvin M. Khomo
Policy Brief
Do monetary policy announcements affect foreign exchange returns and volatility? Some ...
This paper examines the temporal effect of domestic monetary policy...
Jannie Rossouw, Greg Farrell, Cyril May
Working Paper
The behaviour of the real effective exchange rate of South Africa: is there a misalignm...
The paper uses Behavioural Equilibrium Exchange Rate methodology to...
Meshach J. Aziakpono, Melvin M. Khomo
Working Paper
The Effects of Exchange Rate Volatility on South African Investments
This paper analysed the short- and long-run interactions between th...
Magdeline M. Maepa
Working Paper
The Determinants of Exchange Rate Volatility in South Africa
This paper investigates the determinants of exchange rate volatilit...
Trust R. Mpofu
Policy Brief
Structural Breaks in Renewable Energy in South Africa: A Bai & Perron Test Approach
South Africa has been struggling to cope with its energy demand. In...
Jaco P. Weideman, Roula Inglesi-Lotz
Working Paper
Variance Bounds as Thresholds for ‘Excessive’ Currency Volatility: Inflation Targeting ...
At what level does a currency’s volatility become ‘excessive’, in a...
Shakill Hassan, Shaista Amod
Working Paper
Monetary Integration in SADC: Assessment of Policy Coordination and Real Effective Exch...
This paper evaluates the strength of policy coordination in Souther...
Mulatu F. Zerihun, Marthinus C. Breitenbach, Francis M. Kemegue
Working Paper
Exchange Rate Policy and Export Performance in Efficiency-Driven Economies
Increased globalisation, coupled with rising domestic competition, ...
Nicola K. Rowbotham, Douglas Mbululu, Adrian Saville
Working Paper
Nonlinear Econometric Approaches in Testing PPP of SADC Economies towards Monetary Union
The theory of purchasing power parity implies that real exchange ra...
Francis M. Kemegue, Mulatu F. Zerihun, Marthinus C. Breitenbach
Working Paper
South African Capital Markets: An Overview
This paper presents a overview and discussion of facts and research...
Shakill Hassan
Working Paper
Copius Structural Shifts in Exchange Rates of the South African Rand (Post-1994): Do Th...
There is a theoretical case for real exchange rates to be stationar...
Cyril May
Working Paper
Monetary Policy Response to Foreign Aid in an Estimated DSGE Model of Malawi
This paper estimates a Bayesian Dynamic Stochastic General Equilibr...
Manoel Bittencourt, Chance Mwabutwa, Nicola Viegi
Working Paper
The High-Frequency Response of the Rand-Dollar rate to Inflation Surprises
We examine the high-frequency response of the rand-dollar nominal r...
Nicola Viegi, Greg Farrell, Shakill Hassan
Working Paper
Remittances and the Dutch disease in Sub-Saharan Africa. A Dynamic Panel Approach
This paper investigates the effect of remittance inflows on the rea...
Reneé van Eyden, Francis M. Kemegue, Emmanuel Owusu-Sekyere
Working Paper
Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Af...
This paper attempts to assess the extent of volatility spillovers b...
Jamela Hoveni, Lumengo Bonga-Bonga
Working Paper
The Rand as a Carry Trade Target: Risk, Returns and Policy Implications
We analyze the returns to targeting the Australian, New Zealand, an...
Shakill Hassan, Sean Smith
Working Paper
Modelling South African Currency Crises as Structural Changes in the Volatility of the ...
This study tests the theory that currency crises are associated wit...
Andrew S. Duncan, Guangling Dave Liu
Working Paper

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