Detalle Publicación

Exchange rate dynamics in South Africa

Autores: Boateng, A.; Claudio-Quiroga, G.; Gil Alaña, Luis Alberiko (Autor de correspondencia)
Título de la revista: APPLIED ECONOMICS
ISSN: 0003-6846
Volumen: 52
Número: 22
Páginas: 2339 - 2352
Fecha de publicación: 2020
The structure of the nominal exchange rates in South Africa is examined by using fractional integration. We investigate the levels and the volatilities against the US dollar, the British pound, the Euro, the Japanese yen, the Chinese yuan, the Australian dollar, and the Botswanan pula. The results indicate that most series are unit root, I(1) and though there is some evidence of mean reversion, the orders of integration are close to 1, implying high levels of persistence. However, there is evidence of mean reversion for Bostwana Pula in various subsamples. For the volatilities, the stationary long memory is observed in all cases.