The Factors Affecting the Exchange Rate in South Africa
Date Issued
2014
Date
2014
Author(s)
Chen, Mei-Ling
Abstract
In this study ranging from January 1971 to April 2013, covering 508 entries of observation data, the time-series econometrics approach is applied to explore the interaction between macro-economic variables, such as gold prices, consumer price inflation (CPI), money supply (M2), and interest rates, and the South African Rand to US Dollar exchange rate.
The correlation between the variables is determined with the vector autoregression model (VAR). The result shows that gold price has more explanatory power than other macro-economic variables in terms of South African rand to US Dollar exchange rate; whereas the result of the forecast error variance decomposition from the robustness check in the VAR indicates that consumer price index is a more important reference index when investing in South African Rand. The results of the study may serve as a reference for investors in their decision-making as well as for academic research on the exchange rate of South African Rand.
Subjects
單根檢定
向量自我迴歸模型
Granger因果關係檢定
衝擊反應分析
預測誤差變異數分解
Type
thesis
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