| Description |
1 online resource (38 pages) : color illustrations. |
|
text file |
| Series |
IMF working paper ; WP/16/205
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IMF working paper ; WP/16/205.
|
| Note |
"October 2016." |
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At head of title: International Monetary Fund, African Department and Strategy, Policy, and Review Department Department. |
| Bibliography |
Includes bibliographical references (pages 34-36). |
| Summary |
This paper investigates possible drivers of volatility in the South African rand since the onset of the global financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market-based implied volatility indicator for the rand / U.S. dollar exchange rate. Economic surprises--the difference between market expectations and data prints--are captured by Citi's Economic Surprise Index which is available for South Africa and its main economic partners. The results suggest that rand volatility is mainly driven by commodity price volatility, and global market volatility, as well as domestic political uncertainty. In addition, economic surprises originating in the United States matter, but not those originating from South Africa, Europe, or China. |
| Contents |
Cover; Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility?; I. INTRODUCTION; II. LITERATURE REVIEW; III. DATA; IV. CONTINUOUS TIME APPROACH; V. SENSITIVITY ANALYSIS; VI. EVENT STUDY ANALYSIS; VII. CONCLUSION; APPENDIX; References. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Money -- South Africa.
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Money. |
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South Africa. |
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Dollar, American.
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Dollar, American. |
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Foreign exchange rates -- South Africa.
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Foreign exchange rates. |
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Foreign exchange rates -- United States.
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United States. |
| Genre/Form |
Electronic books.
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| Added Author |
Perrelli, Roberto, author, (IMF staff)
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Schimmelpfennig, Axel, author, (IMF staff)
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International Monetary Fund, publisher.
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International Monetary Fund. African Department, issuing body.
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International Monetary Fund. Strategy, Policy, and Review Department, issuing body.
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| Added Title |
What drives the rand/U.S. dollar volatility? |
| Other Form: |
Print version: Mavee, Nasha. Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility? Washington, D.C. : International Monetary Fund,2016 9781475545425 |
| ISBN |
9781475545425 |
|
1475545428 |
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1475545606 |
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9781475545609 (electronic book) |
| Standard No. |
10.5089/9781475545425.001 |
|
