Determinants of Exchange Rate Volatility in South Africa
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Date
2015
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University of Fort Hare
Abstract
The rand is observed to have experienced volatility in recent times, which was particularly pronounced during times of crises such as the East Asian Crisis of 1998 and the global financial crisis of 2008. The purpose of this study is to identify key macroeconomic variables that determine exchange rate volatility in South Africa, and to also determine the contribution of each of these variables to volatility. The study makes use of quarterly data from 1994 to 2014. Volatility is measured by means of a generalized autoregressive conditional heteroscedasticity approach. Estimation techniques employed include the Johansen Cointegration and vector error correction model.
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Masters Theses
Keywords
SOCIAL SCIENCES::Business and economics
Citation
Dewing,D.(2015).Determinants of Exchange Rate Volatility in South Africa.Alice: University of Fort Hare