Is the rand a commodity currency? A volatility spillover analysis

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE Investment Analysts Journal Pub Date : 2022-07-03 DOI:10.1080/10293523.2022.2090079

A. Sayed, A. Charteris

引用次数: 1

Abstract

ABSTRACT South Africa is a major commodity exporter, yet it is not clear what impact volatility in commodity prices has on the volatility of its currency. In this study, we examine whether a comprehensive sample of commodities (metals, grains and energy) transmit (or receive) volatility spillovers to (from) the rand exchange rate against the United States dollar for the period January 2000 to May 2022. This study uses the dynamic connectedness and volatility spillover approach of Diebold and Yilmaz (2012, 2014) and Gabauer (2020). Our findings highlight the rand as a net receiver of volatility from almost every commodity examined, with silver and palladium exhibiting the strongest volatility spillover onto the rand. From a transmission perspective, there is some evidence that the rand can be considered a commodity currency for metal exports but there may also be other channels to explain the impact of these commodities on the currency. The results have important implications for policymakers, currency traders and hedgers in commodity markets.

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

兰特是一种商品货币吗?波动性溢出分析

摘要南非是一个主要的大宗商品出口国，但目前尚不清楚大宗商品价格的波动对其货币的波动有何影响。在这项研究中，我们考察了2000年1月至2022年5月期间，大宗商品（金属、粮食和能源）的综合样本是否向兰特兑美元汇率传递（或接收）波动溢出效应。本研究采用了Diebold和Yilmaz（20122014）以及Gabauer（2020）的动态连通性和波动溢出方法。我们的研究结果强调，兰特是几乎所有受检商品波动性的净接收器，银和钯对兰特的波动性溢出最强。从传导角度来看，有一些证据表明，兰特可以被视为金属出口的商品货币，但也可能有其他渠道来解释这些商品对货币的影响。研究结果对政策制定者、货币交易员和大宗商品市场对冲者具有重要意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文去求助

来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.