LEADER 05106oam 22011894 450 001 9910786484703321 005 20230801225353.0 010 $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(IMF)WPIEE2012168 035 $a(IMF)WPIEA2012168 035 $a(EXLCZ)992670000000278909 100 $a20020129d2012 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCommodity Prices and Exchange Rate Volatility : $eLessons from South Africa?s Capital Account Liberalization /$fElena Dumitrescu, Rabah Arezki, Andreas Freytag, Marc Quintyn 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (20 p.) 225 1 $aIMF Working Papers 225 0$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 3 $aWe examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980-2010. Our main findings is that prior to capital account liberalization the causality runs from South African Rand to gold price volatility but the causality runs the other way around for the post-liberalization period. These findings suggest that gold price volatility plays a key role in explaining both the excessive exchange rate volatility and current disproportionate share of speculative (short-run) inflows that South Africa has been coping with since the opening up of its capital account. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/168 606 $aPrices 606 $aForeign exchange rates$zSouth Africa 606 $aExports and Imports$2imf 606 $aForeign Exchange$2imf 606 $aMacroeconomics$2imf 606 $aInternational Investment$2imf 606 $aLong-term Capital Movements$2imf 606 $aCurrent Account Adjustment$2imf 606 $aShort-term Capital Movements$2imf 606 $aMetals and Metal Products$2imf 606 $aCement$2imf 606 $aGlass$2imf 606 $aCeramics$2imf 606 $aCommodity Markets$2imf 606 $aCurrency$2imf 606 $aForeign exchange$2imf 606 $aInternational economics$2imf 606 $aGold prices$2imf 606 $aReal exchange rates$2imf 606 $aReal effective exchange rates$2imf 606 $aCapital account liberalization$2imf 606 $aCommodity price fluctuations$2imf 606 $aPrices$2imf 606 $aBalance of payments$2imf 606 $aGold$2imf 607 $aSouth Africa$2imf 615 0$aPrices. 615 0$aForeign exchange rates 615 7$aExports and Imports 615 7$aForeign Exchange 615 7$aMacroeconomics 615 7$aInternational Investment 615 7$aLong-term Capital Movements 615 7$aCurrent Account Adjustment 615 7$aShort-term Capital Movements 615 7$aMetals and Metal Products 615 7$aCement 615 7$aGlass 615 7$aCeramics 615 7$aCommodity Markets 615 7$aCurrency 615 7$aForeign exchange 615 7$aInternational economics 615 7$aGold prices 615 7$aReal exchange rates 615 7$aReal effective exchange rates 615 7$aCapital account liberalization 615 7$aCommodity price fluctuations 615 7$aPrices 615 7$aBalance of payments 615 7$aGold 700 $aDumitrescu$b Elena$01578655 701 $aArezki$b Rabah$01472682 701 $aFreytag$b Andreas$0148883 701 $aQuintyn$b Marc$0247373 801 0$bDcWaIMF 906 $aBOOK 912 $a9910786484703321 996 $aCommodity Prices and Exchange Rate Volatility$93858234 997 $aUNINA