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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Testing PPP for the South African rand/US dollar real exchange rate at different data frequencies
Authors:Caporale, Guglielmo Maria
Gil-Alana, Luis A.
Year:2015
Periodical:African Development Review (ISSN 1467-8268)
Volume:27
Issue:2
Pages:161-170
Language:English
Geographic term:South Africa
Subjects:econometrics
exchange rates
External link:https://doi.org/10.1111/1467-8268.12131
Abstract:This paper tests the PPP hypothesis for the South African rand/US dollar real exchange rate using a fractional integration framework. The results suggest that the real exchange rate of the South African rand with respect to the US dollar is a highly dependent variable with an order of integration very close to 1. This finding is not affected by the data frequency considered (daily, weekly or monthly). Also, there appears to be a single break in December 2001 (possibly corresponding to a change in the monetary policy framework), with the unit root null being rejected in favour of d > 1 for the periods before the break, but not afterwards. Thus, our results strongly reject the PPP hypothesis for the South African rand/US dollar rate across data frequencies, since shocks are found to affect the exchange rate forever. Bibliogr., notes, ref., sum. [Journal abstract]
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