Prices / by George F. Warren and Frank A. Pearson.
George F. Warren (George Frederick), 1874-1938
ספרWe 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.
כותר |
Commodity Prices and Exchange Rate Volatility : Lessons from South Africa’s Capital Account Liberalization / Elena Dumitrescu, Rabah Arezki, Andreas Freytag, Marc Quintyn. [IMF working paper WP/12/168 ] |
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מהדורה |
1st ed. |
מוציא לאור |
Washington, D.C. : International Monetary Fund |
שנה |
2012 |
הערות |
Description based upon print version of record. Includes bibliographical references. English |
הערת תוכן ותקציר |
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 |
סדרה |
IMF Working Papers |
היקף החומר |
1 online resource (20 p.) |
שפה |
אנגלית |
מספר מערכת |
997010720708605171 |
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