{
  "title": "Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility?",
  "publication": "IMF Working Papers, October 17, 2016",
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  "summary": "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.",
  "sections": [
    {
      "heading": "Summary and research question",
      "content": "- Investigates possible drivers of volatility in the South African rand since the onset of the global financial crisis.\n- Assesses the role of:\n  - local and international economic surprises,\n  - commodity price volatility,\n  - global market risk perceptions,\n  - local political uncertainty.\n- Measure of rand volatility: a market-based implied volatility indicator for the rand / U.S. dollar exchange rate.\n- Economic surprises captured by Citi’s Economic Surprise Index available for South Africa and its main economic partners."
    },
    {
      "heading": "Methodology",
      "content": "- Uses a market-based implied volatility indicator for the rand / U.S. dollar exchange rate as the dependent variable.\n- Uses Citi’s Economic Surprise Index (difference between market expectations and data prints) for South Africa, the United States, Europe, and China.\n- Examines commodity price volatility, global market volatility, and a measure of domestic political uncertainty as explanatory variables."
    },
    {
      "heading": "Key findings",
      "content": "- Rand volatility is mainly driven by:\n  - commodity price volatility,\n  - global market volatility,\n  - domestic political uncertainty.\n- Economic surprises originating in the United States matter for rand volatility.\n- Economic surprises originating from South Africa, Europe, or China do not have a significant effect on rand volatility (as reported)."
    },
    {
      "heading": "Policy-relevant implications",
      "content": "- Monitoring commodity price volatility and global market risk perceptions is important for understanding and managing rand volatility.\n- Domestic political uncertainty is a significant domestic determinant—addressing political uncertainty could reduce exchange rate volatility.\n- Attention to U.S. economic surprises is warranted given their measurable impact on rand volatility; domestic and regional economic surprises appear less influential in this context.\n\n---\n\n Content in this bundle\n\n- Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility?\n  - Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility? (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility? (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/surprise-surprise-what-drives-the-rand-u-s-44339"
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    "Authors: Nasha Maveé, Roberto Perrelli, Axel Schimmelpfennig",
    "Published: October 17, 2016",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781475545425.001",
    "Investigates possible drivers of volatility in the South African rand since the onset of the global financial crisis.",
    "Assesses the role of:",
    "Measure of rand volatility: a market-based implied volatility indicator for the rand / U.S. dollar exchange rate.",
    "Economic surprises captured by Citi’s Economic Surprise Index available for South Africa and its main economic partners.",
    "Uses a market-based implied volatility indicator for the rand / U.S. dollar exchange rate as the dependent variable.",
    "Uses Citi’s Economic Surprise Index (difference between market expectations and data prints) for South Africa, the United States, Europe, and China.",
    "Examines commodity price volatility, global market volatility, and a measure of domestic political uncertainty as explanatory variables.",
    "Rand volatility is mainly driven by:",
    "Economic surprises originating in the United States matter for rand volatility.",
    "Economic surprises originating from South Africa, Europe, or China do not have a significant effect on rand volatility (as reported).",
    "Monitoring commodity price volatility and global market risk perceptions is important for understanding and managing rand volatility.",
    "Domestic political uncertainty is a significant domestic determinant—addressing political uncertainty could reduce exchange rate volatility.",
    "Attention to U.S. economic surprises is warranted given their measurable impact on rand volatility; domestic and regional economic surprises appear less influential in this context.",
    "**Surprise, Surprise: What Drives the Rand / U.S. Dollar Exchange Rate Volatility?**"
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