Title Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization / prepared by Rabah Arezki [and others].

Publication Info.	[Washington, D.C.] : International Monetary Fund, [2012]
	©2012

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Description	1 online resource (19 pages).
	text file
Series	IMF working paper ; WP/12/168
	IMF working paper ; WP/12/168.
Note	Title from PDF title page (IMF Web site, viewed Jun. 29, 2012).
Summary	We 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.
Bibliography	Includes bibliographical references.
Note	"Institute for Capacity Development."
	"June 2012."
Contents	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.
Local Note	eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America
Subject	Gold -- Prices -- South Africa.
	Gold -- Prices.
	South Africa.
	Gold.
	Rand area -- South Africa.
	Rand area.
	Foreign exchange rates -- South Africa.
	Foreign exchange rates.
Genre/Form	Electronic books.
Added Author	Arezki, Rabah.
	International Monetary Fund. Institute for Capacity Development.
Other Form:	Print version: Dumitrescu, Elena. Commodity Prices and Exchange Rate Volatility: Lessons from South Africa's Capital Account Liberalization. Washington : International Monetary Fund, ©2012 9781475505160
ISBN	9781475511024 electronic book
	1475511027 electronic book
	9781475563504 electronic book
	1475563507 electronic book
	9781475505160

Title Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization / prepared by Rabah Arezki [and others].

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