The economics of exchange rates : a South African model

dc.contributor.authorBrink, S.
dc.contributor.authorKoekemoer, Reneé
dc.date.accessioned2009-10-28T06:10:01Z
dc.date.available2009-10-28T06:10:01Z
dc.date.issued2000-03
dc.description.abstractThis paper attempts to capture the determination of the South African exchange rate in a theoretically plausible model with reliable forecasting ability. A sticky-price, Dornbusch-type monetary model of the rand/dollar exchange rate is proposed. The three-step Engle and Yoo cointegration procedure is applied and the test results indicate that the nominal exchange rate is cointegrated with relative real output, the relative money supplies and the inflation differential. An error correction model is estimated and shocks are applied to each of the long-run variables. Some policy implications are derived from these sensitivity tests. Finally, a fundamental equilibrium exchange rate (FEER) for the rand/dollar rate is defined and the FEER values are estimated until the year 2000.en_US
dc.identifier.citationBrink, S & Koekemoer, R 2000, 'The economics of exchange rates: a South African model', South African Journal of Economic and Management Sciences, vol. 3, no. 1, pp. 19-51. [http://www.journals.co.za/ej/ejour_ecoman.html]en_US
dc.identifier.issn1015-8812
dc.identifier.urihttp://hdl.handle.net/2263/11602
dc.language.isoenen_US
dc.publisherFaculty of Economic and Management Sciences, University of Pretoriaen_US
dc.rightsFaculty of Economic and Management Sciences, University of Pretoriaen_US
dc.subjectSouth African exchange ratesen
dc.subjectRandsen
dc.subjectRand/dollar exchange ratesen
dc.subjectMonetary modelen
dc.subjectModellingen
dc.subjectFundamental equilibrium exchange rates (FEER)en
dc.subjectExchange ratesen
dc.subject.lcshForeign exchange rates -- South Africaen
dc.subject.lcshEconomic forecasting -- South Africaen
dc.titleThe economics of exchange rates : a South African modelen_US
dc.typeArticleen_US

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Brink_Economics(2000).pdf
Size:
1.36 MB
Format:
Adobe Portable Document Format
Description:
Article

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
2.46 KB
Format:
Item-specific license agreed upon to submission
Description: