The economics of exchange rates: A South African model

The economics of exchange rates: A South African model

This 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 i...

Full description

Bibliographic Details
Main Authors: S. Brink, R. Koekemoer
Format: Article
Language:English
Published: AOSIS 2000-03-01
Series:South African Journal of Economic and Management Sciences
Online Access:https://sajems.org/index.php/sajems/article/view/2597
id doaj-a7129938328945d5818686be1932b041
record_format Article
spelling doaj-a7129938328945d5818686be1932b0412020-11-24T22:04:02ZengAOSISSouth African Journal of Economic and Management Sciences1015-88122222-34362000-03-0131195110.4102/sajems.v3i1.2597915The economics of exchange rates: A South African modelS. Brink0R. Koekemoer1Department of Economics, University of PretoriaDepartment of Economics, University of PretoriaThis 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.https://sajems.org/index.php/sajems/article/view/2597
collection DOAJ
language English
format Article
sources DOAJ
author S. Brink
R. Koekemoer
spellingShingle S. Brink
R. Koekemoer
The economics of exchange rates: A South African model
South African Journal of Economic and Management Sciences
author_facet S. Brink
R. Koekemoer
author_sort S. Brink
title The economics of exchange rates: A South African model
title_short The economics of exchange rates: A South African model
title_full The economics of exchange rates: A South African model
title_fullStr The economics of exchange rates: A South African model
title_full_unstemmed The economics of exchange rates: A South African model
title_sort economics of exchange rates: a south african model
publisher AOSIS
series South African Journal of Economic and Management Sciences
issn 1015-8812
2222-3436
publishDate 2000-03-01
description This 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.
url https://sajems.org/index.php/sajems/article/view/2597
work_keys_str_mv AT sbrink theeconomicsofexchangeratesasouthafricanmodel
AT rkoekemoer theeconomicsofexchangeratesasouthafricanmodel
AT sbrink economicsofexchangeratesasouthafricanmodel
AT rkoekemoer economicsofexchangeratesasouthafricanmodel
_version_ 1725830932578959360

Similar Items