LEADER 03141nam 2200589Ia 450 001 9910462255003321 005 20200520144314.0 010 $a1-4755-5956-9 010 $a1-4755-6350-7 035 $a(CKB)2670000000278909 035 $a(EBL)1606821 035 $a(SSID)ssj0000943850 035 $a(PQKBManifestationID)11564333 035 $a(PQKBTitleCode)TC0000943850 035 $a(PQKBWorkID)10977698 035 $a(PQKB)10877786 035 $a(MiAaPQ)EBC1606821 035 $a(Au-PeEL)EBL1606821 035 $a(CaPaEBR)ebr10627130 035 $a(OCoLC)870245024 035 $a(EXLCZ)992670000000278909 100 $a20121206d2012 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCommodity prices and exchange rate volatility$b[electronic resource] $elessons from South Africa's capital account liberalization /$fRabah Arezki ... [et al.] 210 $aWashington, D.C. $cInternational Monetary Fund$dc2012 215 $a1 online resource (20 p.) 225 0$aIMF working paper ;$vWP/12/168 300 $aDescription based upon print version of record. 311 $a1-4755-1102-7 311 $a1-4755-0516-7 320 $aIncludes bibliographical references. 327 $aCover; 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 327 $aTable 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 330 $aWe examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980-2010. Our main findings is that prior to capital account liberalization the causality runs from South African Rand to gold price volatility but the causality runs the other way around for the post-liberalization period. These findings suggest that gold price volatility plays a key role in explaining both the excessive exchange rate volatility and current disproportionate share of speculative (short-run) inflows that South Africa has been coping with since the opening up of it 410 0$aIMF Working Papers 606 $aPrices 606 $aForeign exchange rates$zSouth Africa 608 $aElectronic books. 615 0$aPrices. 615 0$aForeign exchange rates 700 $aArezki$b Rabah$0936180 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910462255003321 996 $aCommodity prices and exchange rate volatility$92235302 997 $aUNINA