Commodity Prices and Exchange Rate Volatility : : Lessons from South Africa’s Capital Account Liberalization / / Elena Dumitrescu, Rabah Arezki, Andreas Freytag, Marc Quintyn

• Record Nr.: UNINA9910957397603321
• Autore: Dumitrescu Elena
• Pubbl/distr/stampa: Washington, D.C. : , : International Monetary Fund, , 2012
• ISBN: 9781475559569; 1475559569; 9781475563504; 1475563507
• Edizione: [1st ed.]
• Descrizione fisica: 1 online resource (20 p.)
• Collana: IMF Working Papers; IMF working paper ; ; WP/12/168
• Altri autori (Persone): ArezkiRabah; FreytagAndreas; QuintynMarc
• Disciplina: 332.152
• Soggetti: Prices; Foreign exchange rates - South Africa; Balance of payments; Capital account liberalization; Cement; Ceramics; Commodity Markets; Commodity price fluctuations; Currency; Current Account Adjustment; Exports and Imports; Foreign Exchange; Foreign exchange; Glass; Gold prices; Gold; International economics; International Investment; Long-term Capital Movements; Macroeconomics; Metals and Metal Products; Real effective exchange rates; Real exchange rates; Short-term Capital Movements; South Africa
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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
• Sommario/riassunto: 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.