03141nam 2200589Ia 450 991046225500332120200520144314.01-4755-5956-91-4755-6350-7(CKB)2670000000278909(EBL)1606821(SSID)ssj0000943850(PQKBManifestationID)11564333(PQKBTitleCode)TC0000943850(PQKBWorkID)10977698(PQKB)10877786(MiAaPQ)EBC1606821(Au-PeEL)EBL1606821(CaPaEBR)ebr10627130(OCoLC)870245024(EXLCZ)99267000000027890920121206d2012 uy 0engurcn|||||||||txtccrCommodity prices and exchange rate volatility[electronic resource] lessons from South Africa's capital account liberalization /Rabah Arezki ... [et al.]Washington, D.C. International Monetary Fundc20121 online resource (20 p.)IMF working paper ;WP/12/168Description based upon print version of record.1-4755-1102-7 1-4755-0516-7 Includes bibliographical references.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 LiberalizationTable 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 ExogeneityWe 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 itIMF Working PapersPricesForeign exchange ratesSouth AfricaElectronic books.Prices.Foreign exchange ratesArezki Rabah936180MiAaPQMiAaPQMiAaPQBOOK9910462255003321Commodity prices and exchange rate volatility2235302UNINA