The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate : Evidence from South Africa

Balázs Égerti iOECD

Organisation for Economic Co-operation and Development

关键词: South Africa;    macroeconomic news;    nonlinearity;    central bank communication;    commodity prices;    monetary model;    exchange rates;   

DOI  :  https://doi.org/10.1787/224472688177

学科分类：社会科学、人文和艺术（综合）

来源: OECD iLibrary

【 摘 要 】

This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on changes in daily returns of the rand-dollar exchange rate. We also identify a one-sided nonlinear mean reversion to the long-term monetary equilibrium. In addition we establish very short-lived effects on the exchange rate of selected macroeconomic surprises and central bank communication aimed at talking up the rand.