Determinants of the ZAR/USD exchange rate and policy implications: A simultaneous-equation model

Artikel

This paper examines the determinants of the South African rand/US dollar (ZAR/USD) exchange rate based on demand and supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the South African government bond yield, US real GDP, the US stock price and the South African inflation rate and negatively influenced by the 10-year US government bond yield, South African real GDP, the South African stock price, and the US inflation rate. The adoption of a free floating exchange rate regime has reduced the value of the rand vs. the US dollar.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 4 ; Year: 2016 ; Issue: 1 ; Pages: 1-7 ; Abingdon: Taylor & Francis

Classification and Topics

• Classification: Wirtschaft ; Foreign Exchange ; Open Economy Macroeconomics
• Subject: exchange rates ; interest rates ; real GDP ; stock prices ; EGARCH

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hsing, Yu
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2016

Further information

• DOI: doi:10.1080/23322039.2016.1151131
• Handle: http://hdl.handle.net/10419/147798
• Last update: 10.03.2025, 11:41 AM CET