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Commodity Prices and Exchange Rate Volatility: Lessons from South Africa’s Capital Account Liberalization
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Author/Editor: |
Arezki, Rabah | Dumitrescu, Elena | Freytag, Andreas | Quintyn, Marc |
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June 1, 2012 |
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Electronic Access: |
Free Full Text (PDF file size is 1,038KB)
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.
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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.
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Order a print copy
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Series: |
Working Paper No. 12/168 |
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Subject(s): |
Capital account liberalization | Commodity price fluctuations | Commodity prices | Exchange rates | Gold prices | South Africa |
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Author's keyword(s): |
Exchange rate; volatility; commodities; financial flows. |
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Published: |
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June 1, 2012 |
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Format: |
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Paper |
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Stock No: |
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WPIEA2012168 |
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Pages: |
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19 |
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Price: |
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US$18.00 (Academic Rate: US$18.00 )
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