05150oam 22012134 450 991081076710332120240402045331.01-4755-5956-91-4755-6350-7(CKB)2670000000278909(EBL)1606821(SSID)ssj0000943850(PQKBManifestationID)11564333(PQKBTitleCode)TC0000943850(PQKBWorkID)10977698(PQKB)10877786(Au-PeEL)EBL1606821(CaPaEBR)ebr10627130(OCoLC)870245024(IMF)WPIEE2012168(IMF)WPIEA2012168(MiAaPQ)EBC1606821(EXLCZ)99267000000027890920020129d2012 uf 0engurcn|||||||||txtccrCommodity Prices and Exchange Rate Volatility : Lessons from South Africa’s Capital Account Liberalization /Elena Dumitrescu, Rabah Arezki, Andreas Freytag, Marc Quintyn1st ed.Washington, D.C. :International Monetary Fund,2012.1 online resource (20 p.)IMF Working PapersIMF 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 its capital account.IMF Working Papers; Working Paper ;No. 2012/168PricesForeign exchange ratesSouth AfricaExports and ImportsimfForeign ExchangeimfMacroeconomicsimfInternational InvestmentimfLong-term Capital MovementsimfCurrent Account AdjustmentimfShort-term Capital MovementsimfMetals and Metal ProductsimfCementimfGlassimfCeramicsimfCommodity MarketsimfCurrencyimfForeign exchangeimfInternational economicsimfGold pricesimfReal exchange ratesimfReal effective exchange ratesimfCapital account liberalizationimfCommodity price fluctuationsimfPricesimfBalance of paymentsimfGoldimfSouth AfricaimfPrices.Foreign exchange ratesExports and ImportsForeign ExchangeMacroeconomicsInternational InvestmentLong-term Capital MovementsCurrent Account AdjustmentShort-term Capital MovementsMetals and Metal ProductsCementGlassCeramicsCommodity MarketsCurrencyForeign exchangeInternational economicsGold pricesReal exchange ratesReal effective exchange ratesCapital account liberalizationCommodity price fluctuationsPricesBalance of paymentsGold332.152Dumitrescu Elena1623603Arezki Rabah1595842Freytag Andreas148883Quintyn Marc247373DcWaIMFBOOK9910810767103321Commodity Prices and Exchange Rate Volatility3958083UNINA