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University of Cape Town

1. Parsons, Adam. Driving the volatility of the Rand: Investigating the influence of surprises in macroeconomic announcements on the volatility of the Rand-Dollar exchange rate, post the 2008/2009 global financial crisis.

Degree: MBA, Research of GSB, 2017, University of Cape Town

Considerable volatility in the Rand-Dollar exchange rate has been noted in the years following the global financial crisis of 2008/2009. Lots of literature exists around the modelling of movements in exchange rates, with much focus on the impact of the announcement of macroeconomic fundamentals. The relationship between different macroeconomic fundamentals and volatility in foreign exchange markets has been studied by measuring the impact of announcement 'surprises', defined as the difference between expected and actual announcements. With much focus on currency rates for developed markets, there are surprisingly few related to emerging market currencies, and even less so for the specific South African context. As such, this paper seeks to investigate the extent to which volatility in the Rand-Dollar exchange rate is a function of surprises in macroeconomic announcements over the period 2010 to 2015. In light of the methodologies employed in literature, together with the data characteristics unique to this research paper, a TARCH model under student-t distribution was employed for analysis. Results of the analysis indicate that surprises in South African macroeconomic announcements of consumer confidence, government budget, gross domestic product, and current account have an influence on volatility in the Rand-Dollar exchange rate. While the model is validated, the macroeconomic announcements considered do not fully explain all volatility observed in the US Dollar Rand exchange rate, highlighting the need for additional studies. Findings of the model demonstrate that surprises in South African (consumer confidence, government budget, gross domestic product, and current account) and US (trade balance) macroeconomic announcements have significance on the daily conditional return and variance of the Rand-Dollar exchange rate. This response is found to be time-varying, with different announcements showing significance at various points in time. The asymmetrical response of the exchange rate returns is also noted, with positive surprise values demonstrating greater influence than negative. Advisors/Committee Members: Gossel, Sean J.

Subjects/Keywords: Foreign Exchange Markets

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Parsons, A. (2017). Driving the volatility of the Rand: Investigating the influence of surprises in macroeconomic announcements on the volatility of the Rand-Dollar exchange rate, post the 2008/2009 global financial crisis. (Masters Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/25497

Chicago Manual of Style (16th Edition):

Parsons, Adam. “Driving the volatility of the Rand: Investigating the influence of surprises in macroeconomic announcements on the volatility of the Rand-Dollar exchange rate, post the 2008/2009 global financial crisis.” 2017. Masters Thesis, University of Cape Town. Accessed December 17, 2017. http://hdl.handle.net/11427/25497.

MLA Handbook (7th Edition):

Parsons, Adam. “Driving the volatility of the Rand: Investigating the influence of surprises in macroeconomic announcements on the volatility of the Rand-Dollar exchange rate, post the 2008/2009 global financial crisis.” 2017. Web. 17 Dec 2017.

Vancouver:

Parsons A. Driving the volatility of the Rand: Investigating the influence of surprises in macroeconomic announcements on the volatility of the Rand-Dollar exchange rate, post the 2008/2009 global financial crisis. [Internet] [Masters thesis]. University of Cape Town; 2017. [cited 2017 Dec 17]. Available from: http://hdl.handle.net/11427/25497.

Council of Science Editors:

Parsons A. Driving the volatility of the Rand: Investigating the influence of surprises in macroeconomic announcements on the volatility of the Rand-Dollar exchange rate, post the 2008/2009 global financial crisis. [Masters Thesis]. University of Cape Town; 2017. Available from: http://hdl.handle.net/11427/25497

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