US behind rand volatility, says IMF
Global factors mostly outweigh domestic strife in driving rand-US dollar volatility, IMF study shows
It is official: the rand is sensitive to any surprises in US economic data, and to political "noise" in SA, but not to South African economic data surprises. A study by the IMF’s economists of the volatility of the rand-US dollar exchange rate since the global financial crisis in 2009 found that rand volatility was driven mainly by global factors, and that macroeconomic surprises originating in the US also matter for rand volatility, as does local political uncertainty. Economists Nasha Mavee, Roberto Perrelli and Axel Schimmelpfennig found: "Neither domestic macroeconomic surprises nor those originating from other emerging markets are statistically related to rand volatility." The working paper, titled Surprise, Surprise: What drives the Rand/US dollar exchange rate volatility? drew on extensive econometric modelling and on a surprise index compiled by Citi which measured the differences between market expectations and actual economic data. It also used an index of policy uncertain...
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