Commodity Prices and Exchange Rate Volatility: Lessons from South Africa’s Capital Account Liberalization

WPIEA2012168 Image
Price:  $18.00

Author/Editor: Rabah Arezki, Elena Dumitrescu, Andreas Freytag, Marc Quintyn
Release Date: © June, 2012
ISBN : 978-1-47550-516-0
Stock #: WPIEA2012168
English
Stock Status: On back-order

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Description

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.

Taxonomy

Balance of trade , Commodities , Foreign exchange , International trade




More publications in this series: Working Papers


More publications by: Rabah Arezki ; Elena Dumitrescu ; Andreas Freytag ; Marc Quintyn