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文章基本信息

  • 标题:The South African rand, fundamentals and commodity prices
  • 作者:Xolani Ndlovu ; Eric Schaling
  • 期刊名称:African Review of Economics and Finance
  • 印刷版ISSN:2042-1478
  • 出版年度:2018
  • 卷号:10
  • 期号:1
  • 页码:23-53
  • 出版社:African Journals Online
  • 摘要:

    This paper revisits the exchange rate-fundamentals debate for the case of the South African Rand; emphasising the role of commodity prices. The exchange rate determination puzzle has been at the heart of exchange rate studies since the Meese-Rogoff (1983) seminal paper. We use floating nominal exchange rate data for South Africa and find evidence in support of a long-run relationship in the commodity-price augmented PPP and monetary models for South Africa. We demonstrate that inclusion of commodity prices improves the in-sample fit of canonical exchange rate model specifications. With respect to out-of-sample short-horizon forecasts, inclusion of commodity prices does improve accuracy although this result is not robust to model and horizon specification.

    Keywords : Commodity prices; Exchange rates; Structural models.

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