Go to AfricaBib home

Go to AfricaBib home AfricaBib Go to database home

bibliographic database
Line
Previous page New search

The free AfricaBib App for Android is available here

Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:On the rand: determinants of the South African exchange rate
Author:Frankel, JeffreyISNI
Year:2007
Periodical:South African Journal of Economics
Volume:75
Issue:3
Pages:425-441
Language:English
Geographic term:South Africa
Subjects:exchange rates
economic models
1980-1989
1990-1999
2000-2009
External link:https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2007.00130.x/pdf
Abstract:This paper is an econometric investigation of the determinants of the real value of the South African rand over the period 1984-2007. The results show a relatively good fit. As always with exchange rate equations, there is substantial weight on the lagged exchange rate, which can be attributed to a momentum component. Nevertheless, economic fundamentals are significant and important. This is especially true of an index of the real prices of South African mineral commodities, which even drives out real income as a significant determinant. An implication is that the 2003-2006 real appreciation of the rand can be attributed to the Dutch Disease. In other respects, the rand behaves like currencies of industrialized countries with well-developed financial markets. In particular, high South African interest rates raise international demand for the rand and lead to real appreciation, controlling also for a forward-looking measure of expected inflation and a measure of default risk or country risk. Bibliogr., notes, ref., sum. [Journal abstract]
Views
Cover