THE IMPACT OF MONETARY AND COMMODITY FUNDAMENTALS, MACRO NEWS AND CENTRAL BANK COMMUNICATION ON THE EXCHANGE RATE:

All Economics Department Working Papers are available through OECD's internet web site at www.oecd.org/eco/working_papers JT03262885 Document complet disponible sur OLIS dans son format d'origine Complete document available on OLIS in its original formatECO/WKP(2009)33 ABSTRACT/RÉSUMÉ The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate: Evidence from South Africa This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on changes in daily returns of the rand-dollar exchange rate. We also identify a one-sided nonlinear mean reversion to the long-term monetary equilibrium. In addition we establish very short-lived effects on the exchange rate of selected macroeconomic surprises and central bank communication aimed at talking up the rand