Surprise, surprise : what drives the rand/U.S. dollar volatility? /
Maveé, Nasha,
Surprise, surprise : what drives the rand/U.S. dollar volatility? / What drives the rand/U.S. dollar volatility? prepared by Nasha Maveé, Roberto Perrelli, and Axel Schimmelpfennig. - 1 online resource (38 pages) : color illustrations - IMF working paper ; WP/16/205 . - IMF working paper ; WP/16/205. .
"October 2016." At head of title: International Monetary Fund, African Department and Strategy, Policy, and Review Department Department.
Includes bibliographical references (pages 34-36).
Cover; Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility?; I. INTRODUCTION; II. LITERATURE REVIEW; III. DATA; IV. CONTINUOUS TIME APPROACH; V. SENSITIVITY ANALYSIS; VI. EVENT STUDY ANALYSIS; VII. CONCLUSION; APPENDIX; References.
This paper investigates possible drivers of volatility in the South African rand since the onset of the global financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market-based implied volatility indicator for the rand / U.S. dollar exchange rate. Economic surprises--the difference between market expectations and data prints--are captured by Citi's Economic Surprise Index which is available for South Africa and its main economic partners. The results suggest that rand volatility is mainly driven by commodity price volatility, and global market volatility, as well as domestic political uncertainty. In addition, economic surprises originating in the United States matter, but not those originating from South Africa, Europe, or China.
9781475545425 1475545428 1475545606 9781475545609
10.5089/9781475545425.001 doi
967860 MIL
Money--South Africa.
Dollar, American.
Foreign exchange rates--South Africa.
Foreign exchange rates--United States.
Dollar, American.
Foreign exchange rates.
Money.
South Africa.
United States.
Electronic books.
HG3881.5.I58 / W67 No. 16/205eb
332.4973
Surprise, surprise : what drives the rand/U.S. dollar volatility? / What drives the rand/U.S. dollar volatility? prepared by Nasha Maveé, Roberto Perrelli, and Axel Schimmelpfennig. - 1 online resource (38 pages) : color illustrations - IMF working paper ; WP/16/205 . - IMF working paper ; WP/16/205. .
"October 2016." At head of title: International Monetary Fund, African Department and Strategy, Policy, and Review Department Department.
Includes bibliographical references (pages 34-36).
Cover; Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility?; I. INTRODUCTION; II. LITERATURE REVIEW; III. DATA; IV. CONTINUOUS TIME APPROACH; V. SENSITIVITY ANALYSIS; VI. EVENT STUDY ANALYSIS; VII. CONCLUSION; APPENDIX; References.
This paper investigates possible drivers of volatility in the South African rand since the onset of the global financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market-based implied volatility indicator for the rand / U.S. dollar exchange rate. Economic surprises--the difference between market expectations and data prints--are captured by Citi's Economic Surprise Index which is available for South Africa and its main economic partners. The results suggest that rand volatility is mainly driven by commodity price volatility, and global market volatility, as well as domestic political uncertainty. In addition, economic surprises originating in the United States matter, but not those originating from South Africa, Europe, or China.
9781475545425 1475545428 1475545606 9781475545609
10.5089/9781475545425.001 doi
967860 MIL
Money--South Africa.
Dollar, American.
Foreign exchange rates--South Africa.
Foreign exchange rates--United States.
Dollar, American.
Foreign exchange rates.
Money.
South Africa.
United States.
Electronic books.
HG3881.5.I58 / W67 No. 16/205eb
332.4973