Verfügbarkeit: Commodity prices and exchange rate volatility :

Commodity prices and exchange rate volatility :: lessons from South Africa's capital account liberalization /

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 aro...

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Bibliographische Detailangaben
1. Verfasser:	Arezki, Rabah (VerfasserIn)
Körperschaft:	International Monetary Fund. Institute for Capacity Development
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	[Washington, D.C.] : International Monetary Fund, ©2012.
Schriftenreihe:	IMF working paper ; WP/12/168.
Schlagworte:	Gold > Prices > South Africa. Rand area > South Africa. Foreign exchange rates > South Africa. Rand area. Or > Prix > Afrique du Sud. Zone rand. Taux de change > Afrique du Sud. Prix. prices. BUSINESS & ECONOMICS > Finance. Foreign exchange rates Gold > Prices Rand area South Africa
Online-Zugang:	Volltext
Zusammenfassung:	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.
Beschreibung:	Title from PDF title page (IMF Web site, viewed June 29, 2012). "Institute for Capacity Development." "June 2012."
Beschreibung:	1 online resource (19 pages)
Bibliographie:	Includes bibliographical references.
ISBN:	9781475511024 1475511027 9781475563504 1475563507 1475505167 9781475505160 1475559569 9781475559569

Internformat

MARC


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500			\|a Title from PDF title page (IMF Web site, viewed June 29, 2012).
520			\|a 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.
504			\|a Includes bibliographical references.
500			\|a "Institute for Capacity Development."
500			\|a "June 2012."
505	0		\|a 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 Liberalization.
505	8		\|a Table 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.
546			\|a English.
650		0	\|a Gold \|x Prices \|z South Africa.
650		0	\|a Rand area \|z South Africa.
650		0	\|a Foreign exchange rates \|z South Africa.
650		0	\|a Rand area. \|0 http://id.loc.gov/authorities/subjects/sh90003623
650		6	\|a Or \|x Prix \|z Afrique du Sud.
650		6	\|a Zone rand.
650		6	\|a Taux de change \|z Afrique du Sud.
650		6	\|a Prix.
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776	0	8	\|i Print version: \|a Dumitrescu, Elena. \|t Commodity Prices and Exchange Rate Volatility: Lessons from South Africa's Capital Account Liberalization. \|d Washington : International Monetary Fund, ©2012 \|z 9781475505160
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author	Arezki, Rabah
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contents	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 Liberalization. Table 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.
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geographic	South Africa fast https://id.oclc.org/worldcat/entity/E39PBJcWtkkqd3cMmFw9GBdYT3
geographic_facet	South Africa
id	ZDB-4-EBU-ocn797219839
illustrated	Not Illustrated
indexdate	2024-11-26T14:49:06Z
institution	BVB
institution_GND	http://id.loc.gov/authorities/names/no2012075144
isbn	9781475511024 1475511027 9781475563504 1475563507 1475505167 9781475505160 1475559569 9781475559569
language	English
oclc_num	797219839
open_access_boolean
owner	MAIN DE-863 DE-BY-FWS
owner_facet	MAIN DE-863 DE-BY-FWS
physical	1 online resource (19 pages)
psigel	ZDB-4-EBU
publishDate	2012
publishDateSearch	2012
publishDateSort	2012
publisher	International Monetary Fund,
record_format	marc
series	IMF working paper ;
series2	IMF working paper ;
spelling	Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization / prepared by Rabah Arezki [and others]. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (19 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 data file IMF working paper ; WP/12/168 Title from PDF title page (IMF Web site, viewed June 29, 2012). 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. Includes bibliographical references. "Institute for Capacity Development." "June 2012." 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 Liberalization. Table 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. English. Gold Prices South Africa. Rand area South Africa. Foreign exchange rates South Africa. Rand area. http://id.loc.gov/authorities/subjects/sh90003623 Or Prix Afrique du Sud. Zone rand. Taux de change Afrique du Sud. Prix. prices. aat BUSINESS & ECONOMICS Finance. bisacsh Foreign exchange rates fast Gold Prices fast Rand area fast South Africa fast https://id.oclc.org/worldcat/entity/E39PBJcWtkkqd3cMmFw9GBdYT3 Arezki, Rabah, author. http://id.loc.gov/authorities/names/no2005028307 International Monetary Fund. Institute for Capacity Development. http://id.loc.gov/authorities/names/no2012075144 Print version: Dumitrescu, Elena. Commodity Prices and Exchange Rate Volatility: Lessons from South Africa's Capital Account Liberalization. Washington : International Monetary Fund, ©2012 9781475505160 IMF working paper ; WP/12/168. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568137 Volltext
spellingShingle	Arezki, Rabah Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization / IMF working paper ; 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 Liberalization. Table 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. Gold Prices South Africa. Rand area South Africa. Foreign exchange rates South Africa. Rand area. http://id.loc.gov/authorities/subjects/sh90003623 Or Prix Afrique du Sud. Zone rand. Taux de change Afrique du Sud. Prix. prices. aat BUSINESS & ECONOMICS Finance. bisacsh Foreign exchange rates fast Gold Prices fast Rand area fast
subject_GND	http://id.loc.gov/authorities/subjects/sh90003623
title	Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization /
title_auth	Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization /
title_exact_search	Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization /
title_full	Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization / prepared by Rabah Arezki [and others].
title_fullStr	Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization / prepared by Rabah Arezki [and others].
title_full_unstemmed	Commodity prices and exchange rate volatility : lessons from South Africa's capital account liberalization / prepared by Rabah Arezki [and others].
title_short	Commodity prices and exchange rate volatility :
title_sort	commodity prices and exchange rate volatility lessons from south africa s capital account liberalization
title_sub	lessons from South Africa's capital account liberalization /
topic	Gold Prices South Africa. Rand area South Africa. Foreign exchange rates South Africa. Rand area. http://id.loc.gov/authorities/subjects/sh90003623 Or Prix Afrique du Sud. Zone rand. Taux de change Afrique du Sud. Prix. prices. aat BUSINESS & ECONOMICS Finance. bisacsh Foreign exchange rates fast Gold Prices fast Rand area fast
topic_facet	Gold Prices South Africa. Rand area South Africa. Foreign exchange rates South Africa. Rand area. Or Prix Afrique du Sud. Zone rand. Taux de change Afrique du Sud. Prix. prices. BUSINESS & ECONOMICS Finance. Foreign exchange rates Gold Prices Rand area South Africa
url	https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568137
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