Forecasting volatility on the rand foreign exchange market
- Authors: Klaas, Sinoxolo
- Date: 2015
- Subjects: Foreign exchange rates -- South Africa , Foreign exchange administration , South Africa -- Economic conditions
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: http://hdl.handle.net/10948/7892 , vital:24319
- Description: Exchange rates are one of the most essential determinants of a country's economic performance in terms of level of trade. Since the exchange rate is one of the best indicators of competitiveness, this study sought to examine the behaviour of the rand against other emerging countries in the South African exchange market. The study explored the trends and estimated the forecasting accuracy of six currency markets using ARCH-family and Random walk models over the period 1994 to 2013.The six currency markets examined were the Rand/Dollar, Rand/Pound, Rand/Euro, Rand/Yen and Rand/Pula. The Rand exchange rates did exhibit the characteristics of volatility clustering and asymmetric effects suggesting volatility of the Rand. Exchange rates tend to rise when there is more bad news in the financial market than good news and positive shocks imply a higher next period conditional variance than negative shocks of the same sign.
- Full Text:
- Date Issued: 2015
- Authors: Klaas, Sinoxolo
- Date: 2015
- Subjects: Foreign exchange rates -- South Africa , Foreign exchange administration , South Africa -- Economic conditions
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: http://hdl.handle.net/10948/7892 , vital:24319
- Description: Exchange rates are one of the most essential determinants of a country's economic performance in terms of level of trade. Since the exchange rate is one of the best indicators of competitiveness, this study sought to examine the behaviour of the rand against other emerging countries in the South African exchange market. The study explored the trends and estimated the forecasting accuracy of six currency markets using ARCH-family and Random walk models over the period 1994 to 2013.The six currency markets examined were the Rand/Dollar, Rand/Pound, Rand/Euro, Rand/Yen and Rand/Pula. The Rand exchange rates did exhibit the characteristics of volatility clustering and asymmetric effects suggesting volatility of the Rand. Exchange rates tend to rise when there is more bad news in the financial market than good news and positive shocks imply a higher next period conditional variance than negative shocks of the same sign.
- Full Text:
- Date Issued: 2015
The effect of strike action on the value and volatility of the South African Rand
- Authors: Gordon, Ross Patrick
- Date: 2015
- Subjects: Foreign exchange rates -- South Africa , Strikes and lockouts -- South Africa -- Economic aspects , South Africa -- Foreign economic relations , South Africa -- Economic conditions -- 1991- , Rand, South African , Dollar, American
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1124 , http://hdl.handle.net/10962/d1020018
- Description: This study analyses whether the advent of strike action has an effect on the value and volatility of the South African Rand compared with the US Dollar. The literature suggests that strike action can have a significant effect on the exchange rate in terms of either value or volatility, and consequences can result that cause inefficiencies in the economy; inhibiting employment and economic growth. Strike action has become common place in South Africa, with 2012 alone recording 99 strikes, 45 of which were “wildcat” or unprotected strikes. This study uses GARCH and Intervention Analyses to determine what the resulting effects of the strikes might be on the exchange rate. The analysis used ZAR/USD exchange rate data for the period January 2000 to October 2013, and covered 72 of the most significant strikes in terms of lost man-days. The results are mixed, suggesting that the effects of strikes do not always conform to expectations (increased volatility and a depreciation in the Rand), and that outside factors affecting the global economy may have a more significant effect on the exchange rate than strikes on their own.
- Full Text:
- Date Issued: 2015
- Authors: Gordon, Ross Patrick
- Date: 2015
- Subjects: Foreign exchange rates -- South Africa , Strikes and lockouts -- South Africa -- Economic aspects , South Africa -- Foreign economic relations , South Africa -- Economic conditions -- 1991- , Rand, South African , Dollar, American
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1124 , http://hdl.handle.net/10962/d1020018
- Description: This study analyses whether the advent of strike action has an effect on the value and volatility of the South African Rand compared with the US Dollar. The literature suggests that strike action can have a significant effect on the exchange rate in terms of either value or volatility, and consequences can result that cause inefficiencies in the economy; inhibiting employment and economic growth. Strike action has become common place in South Africa, with 2012 alone recording 99 strikes, 45 of which were “wildcat” or unprotected strikes. This study uses GARCH and Intervention Analyses to determine what the resulting effects of the strikes might be on the exchange rate. The analysis used ZAR/USD exchange rate data for the period January 2000 to October 2013, and covered 72 of the most significant strikes in terms of lost man-days. The results are mixed, suggesting that the effects of strikes do not always conform to expectations (increased volatility and a depreciation in the Rand), and that outside factors affecting the global economy may have a more significant effect on the exchange rate than strikes on their own.
- Full Text:
- Date Issued: 2015
The exchange rate volatility and inflation rate in South Africa
- Authors: Milisi, Busisiwe
- Date: 2015
- Subjects: Foreign exchange rates -- South Africa , Monetary policy -- South Africa , Inflation (Finance) -- South Africa
- Language: English
- Type: Thesis , Masters , MA
- Identifier: http://hdl.handle.net/10948/9151 , vital:26469
- Description: The study examines exchange rate volatility and inflation in South Africa over the period of 1987- 2012 using annual data. With the use of VAR, ADF unit root testing and Johansen for cointegration the study examines the relationship between exchange rate volatility and inflation in South Africa. The study also examines other variables, which are Money Supply, Trade Openness, Real Interest Rate and Real Gross Domestic Product (RGDP), if they had an impact on inflation and had contributed significantly to inflation during the period under review. All macroeconomic variables were identified to have an impact on inflation in the long-run. Exchange rate volatility was identified as the main variable that had substantial impact on inflation rate. The study recommended the current system used by the authorities was working well, as they can pursue a countercyclical macro policy, but also continue to manage the float by intervening to stabilize the exchange rate. The reason for this recommendation was that because one of the advantages of floating exchange rate is freeing internal policy, with a floating exchange rate, balance of payments disequilibrium would be rectified by a change in the external price of the currency. However, with a fixed rate, curing a deficit could involve a general deflationary policy resulting in unpleasant consequences for the whole economy such as unemployment.
- Full Text:
- Date Issued: 2015
- Authors: Milisi, Busisiwe
- Date: 2015
- Subjects: Foreign exchange rates -- South Africa , Monetary policy -- South Africa , Inflation (Finance) -- South Africa
- Language: English
- Type: Thesis , Masters , MA
- Identifier: http://hdl.handle.net/10948/9151 , vital:26469
- Description: The study examines exchange rate volatility and inflation in South Africa over the period of 1987- 2012 using annual data. With the use of VAR, ADF unit root testing and Johansen for cointegration the study examines the relationship between exchange rate volatility and inflation in South Africa. The study also examines other variables, which are Money Supply, Trade Openness, Real Interest Rate and Real Gross Domestic Product (RGDP), if they had an impact on inflation and had contributed significantly to inflation during the period under review. All macroeconomic variables were identified to have an impact on inflation in the long-run. Exchange rate volatility was identified as the main variable that had substantial impact on inflation rate. The study recommended the current system used by the authorities was working well, as they can pursue a countercyclical macro policy, but also continue to manage the float by intervening to stabilize the exchange rate. The reason for this recommendation was that because one of the advantages of floating exchange rate is freeing internal policy, with a floating exchange rate, balance of payments disequilibrium would be rectified by a change in the external price of the currency. However, with a fixed rate, curing a deficit could involve a general deflationary policy resulting in unpleasant consequences for the whole economy such as unemployment.
- Full Text:
- Date Issued: 2015
- «
- ‹
- 1
- ›
- »