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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Main Author: Dumitrescu, Elena
Other Authors: Arezki, Rabah, Freytag, Andreas
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2012, 2012
Series:IMF Working Papers; Working Paper
Subjects:
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Summary: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
Physical Description:19 p.
ISBN:9781475505160
1475505167