The relationship between the forward and realised spot exchange rate in South Africa

Autor:	Chris van Heerden, André Heymans
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	economic fundamentals exchange rate puzzle forward exchange rate fractionally differenced data non-stationary data realised future spot exchange rate stationary data Economics as a science HB71-74
Zdroj:	Journal of Economic and Financial Sciences, Vol 5, Iss 1, Pp 175-192 (2012)
Druh dokumentu:	article
ISSN:	1995-7076 2312-2803
DOI:	10.4102/jef.v5i1.312
Popis:	It is well known that the forward exchange rate and the realised future spot exchange rate differ. This phenomenon is better known as the exchange rate puzzle. Two approaches were followed to ascertain whether this difference is due to the weak explanatory ability of current economic fundamentals or whether the use of an ineffective econometric approach to model exchange rate theories is to blame. The first approach makes use of stationary economic time series data to model the ZAR/USD realised future spot exchange rate, while the second uses non-stationary level economic data to model the ZAR/USD realised future spot exchange rate. While the first approach reported weak results, the second approach illustrated that economic fundamentals are able to explain the ZAR/USD realised future spot exchange rate. These results also confirm that the exchange rate puzzle is a pseudoproblem.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/2b15d57f554046aa9a52b1d26fae205e Zobrazit plný text záznamu View record in DOAJ