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dc.contributor.authorFrankel, Jeffrey
dc.date.accessioned2020-02-17T16:57:52Z
dc.date.issued2007-03
dc.identifier.citationFrankel, Jeffrey. “On the Rand: Determinants of the South African Exchange Rate.” CID Working Paper Series 2007.139, Harvard University, Cambridge, MA, March 2007.en_US
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:42482348*
dc.description.abstractThis paper is an econometric investigation of the determinants of the real value of the South African rand over the period 1984-2006. The results show a relatively good fit. As always with exchange rate equations, there is substantial weight on the lagged exchange rate, which can be attributed to a momentum component. Nevertheless, economic fundamentals are significant and important. This is especially true of an index of the real prices of South African mineral commodities, which even drives out real income as a significant determinant. An implication is that the 2003-2006 real appreciation of the rand can be attributed to Dutch Disease. In other respects, the rand behaves like currencies of industrialized countries with well-developed financial markets. In particular, high South African interest rates raise international demand for the rand and lead to real appreciation, once one also controls for a forward-looking measure of expected inflation and a measure of default risk or country risk. It is in the latter respects, in particular, that the paper purports to improve on earlier studies of the rand.en_US
dc.language.isoen_USen_US
dc.publisherCenter for International Development at Harvard Universityen_US
dc.relation.isversionofhttps://www.hks.harvard.edu/centers/cid/publicationsen_US
dash.licenseLAA
dc.titleOn the Rand: Determinants of the South African Exchange Rateen_US
dc.typeResearch Paper or Reporten_US
dc.description.versionAccepted Manuscripten_US
dc.relation.journalCID Working Paper Seriesen_US
dc.date.available2020-02-17T16:57:52Z
dash.contributor.affiliatedFrankel, Jeffrey


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