## Estimation of the Equilibrium Real Exchange Rate for South Africa

_IMF Working Papers, March 1, 2003_

## Source details

**Canonical URL:** [Estimation of the Equilibrium Real Exchange Rate for South Africa](https://www.imf.org/en/publications/wp/issues/2016/12/30/estimation-of-the-equilibrium-real-exchange-rate-for-south-africa-16340)

## Other formats

- [Markdown version](/en/publications/wp/issues/2016/12/30/estimation-of-the-equilibrium-real-exchange-rate-for-south-africa-16340/index.md)
- [Structured JSON version](/en/publications/wp/issues/2016/12/30/estimation-of-the-equilibrium-real-exchange-rate-for-south-africa-16340/index.json)
- [Bundle manifest](/en/publications/wp/issues/2016/12/30/estimation-of-the-equilibrium-real-exchange-rate-for-south-africa-16340/bundle-manifest.json)

## Bibliographic details
- Authors: Ronald MacDonald, Luca A Ricci
- Published: March 1, 2003
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451846430.001

---

### Methodology
- Based on the Johansen cointegration estimation methodology.
- Explains long-run behavior of the real effective exchange rate using a set of fundamentals.

### Key findings
- Much of the long-run behavior of the real effective exchange rate of South Africa can be explained by:
  - real interest rate differentials,
  - GDP per capita (both relative to trading partners),
  - real commodity prices,
  - trade openness,
  - the fiscal balance,
  - the extent of net foreign assets.
- On the basis of these fundamentals, the real exchange rate in early 2002 was found to be significantly more depreciated with respect to the estimated equilibrium level.
- The half-life of the deviation of the real exchange rate from the estimated equilibrium one was found to be somewhat more than two years.

### Scope and topics
- Subjects: Commodity prices; External position; Financial services; Foreign assets; Foreign exchange; Prices; Real effective exchange rates; Real exchange rates; Real interest rates.
- Keywords: Africa; commodity; commodity exporter; Commodity prices; equilibrium exchange rate; equilibrium real exchange rate; exchange rate; explanatory variables; Foreign assets; price; price equalization; productivity differential; Real effective exchange rates; Real exchange rates; real interest rate differential; Real interest rates; trading partner; vis-à-vis trading-partner country; WP.

*Ronald MacDonald, Luca A Ricci. "Estimation of the Equilibrium Real Exchange Rate for South Africa", IMF Working Papers 2003, 044 (2003), March 1, 2003.*

---

## Content in this bundle

- **Estimation of the Equilibrium Real Exchange Rate for South Africa - WP/03/44**
  - [Estimation of the Equilibrium Real Exchange Rate for South Africa - WP/03/44 (Markdown version)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2003/_wp0344.pdf.md){rel="alternate" type="text/markdown"}
  - [Estimation of the Equilibrium Real Exchange Rate for South Africa - WP/03/44 (PDF)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2003/_wp0344.pdf){rel="external" type="application/pdf"}

---

_Source: https://www.imf.org/en/publications/wp/issues/2016/12/30/estimation-of-the-equilibrium-real-exchange-rate-for-south-africa-16340_