Exchange rates are one of the most essential determinants of a country's economic performance in terms of level of trade. Since the exchange rate is one of the best indicators of competitiveness, this study sought to examine the behaviour of the rand against other emerging countries in the South African exchange market. The study explored the trends and estimated the forecasting accuracy of six currency markets using ARCH-family and Random walk models over the period 1994 to 2013.The six currency markets examined were the Rand/Dollar, Rand/Pound, Rand/Euro, Rand/Yen and Rand/Pula. The Rand exchange rates did exhibit the characteristics of volatility clustering and asymmetric effects suggesting volatility of the Rand. Exchange rates tend to rise when there is more bad news in the financial market than good news and positive shocks imply a higher next period conditional variance than negative shocks of the same sign.

The study examines exchange rate volatility and inflation in South Africa over the period of 1987- 2012 using annual data. With the use of VAR, ADF unit root testing and Johansen for cointegration the study examines the relationship between exchange rate volatility and inflation in South Africa. The study also examines other variables, which are Money Supply, Trade Openness, Real Interest Rate and Real Gross Domestic Product (RGDP), if they had an impact on inflation and had contributed significantly to inflation during the period under review. All macroeconomic variables were identified to have an impact on inflation in the long-run. Exchange rate volatility was identified as the main variable that had substantial impact on inflation rate. The study recommended the current system used by the authorities was working well, as they can pursue a countercyclical macro policy, but also continue to manage the float by intervening to stabilize the exchange rate. The reason for this recommendation was that because one of the advantages of floating exchange rate is freeing internal policy, with a floating exchange rate, balance of payments disequilibrium would be rectified by a change in the external price of the currency. However, with a fixed rate, curing a deficit could involve a general deflationary policy resulting in unpleasant consequences for the whole economy such as unemployment.

The effect of real exchange rate volatility on export performance: evidence from South Africa (2000-2011) This study sought to investigate the relationship between exchange rate volatility and export performance in South Africa. The main objective of the study was to examine the impact of exchange rate volatility on export performance in South Africa. This relationship was examined using GARCH methods. Exports were regressed against real effective exchange rate, trade openness and capacity utilisation. The research aimed to establish whether exchange rate volatility impacts negatively on export performance in the manner suggested by the econometric model. The result obtained showed that exchange rate volatility had a significantly negative effect on South African exports in the period 2000-2011.

There are two key observations in international macroeconomics which pertain to output and real exchange rate dynamics. First, fluctuations in national output around its long-run growth path are very persistent. Second, fluctuations in real exchange rates are very persistent. The sticky price framework offers an explanation for both phenomena. The first and second essay of this thesis take an empirical approach to test the predictions of this framework. In the first essay I test the prediction of the sticky price model for output dynamics using annual IFS data on 51 countries over the period 1950 -1996. The model predicts that price stickiness should be less important in high inflation countries and therefore output fluctuations less persistent. I find that, this inverse relationship is statistically insignificant in the international data. A similar result holds for OECD countries. In the empirical implementation I explicitly control for the within-country time variation in inflation by first characterizing the inflationary environment using the long-run movements in inflation (trend inflation), and secondly, by excluding episodes of hyperinflation. The analysis shows that when the within-country time variation in inflation is ignored, there is support for the prediction. For instance, the inverse relationship between persistence in deviations of output from its long-run growth path and average inflation is statistically significant in the full sample. However, the exclusion of a few episodes of hyperinflation renders this relationship statistically insignificant. In the second essay I investigate the prediction of the sticky price model for real exchange rate dynamics using annual IFS data on 49 countries over the period 1972-1996. The model predicts that deviations of real exchange rates from purchasing power parity should be less persistent, in high inflation countries. The empirical analysis reveals that the support for such an inverse relationship is extremely fragile. In particular, eliminating episodes of hyperinflation renders this relationship statistically insignificant. The lack of evidence in favour of the two predictions of the sticky price model is problematic since this model is extensively used as a microfoundation for understanding output and real exchange rate fluctuations. In the third essay I take a structural approach to qualitatively explore the role of slow diffusion of new products in propagating the effect of technology shocks on output. I present a multi-sector dynamic general equilibrium model in which the creation of new products requires real resources. These products are beneficial for the economy but only upon complete diffusion. However, this diffusion is not instantaneous. I find that relative to a model in which there is instantaneous diffusion of new products, the qualitative output dynamics are similar to what is observed in the U.S. data. This warrants further quantitative investigation. / Arts, Faculty of / Vancouver School of Economics / Graduate

No description available.

A research report submitted to the Faculty of Engineering and the Built Environment, University of the Witwatersrand, Johannesburg, in fulfilment of the requirements for the degree of Master of Science in Engineering / The purpose of this research is to provide a comprehensive understanding of Foreign Direct Investment (FDI) and its impact on the mining sector of a developing economy. The ideology and principles discussed aim to assist economists, investors and governments in understanding the need for FDI and how to set up a viable and conducive framework. The research links development economics to FDI as a means to creating and sustaining economic growth.The results of the analysis indicated that there is a direct relationship between development economics and FDI. Political, social and economic risks pose a direct threat to the levels of FDI that a country attracts. A study performed in this research revealed that the higher the perceived risk level, the lower the investment levels. Africa is a resource rich continent; however it ranks low on the investor attractiveness scale. This is due to authoritative political leaders that control corporate and fiscal regimes, ethnic unrest between local tribes and political warfare that is played out in the media. Despite these drawbacks certain African countries are taking steps to improve their attractiveness. Ethiopia is one of them and was selected as the main case study for this research. A benchmark acid test was performed on the policies implemented by government. The Growth Transformation Plan (GTP) I and II (plans set by the government to transform Ethiopia) were reviewed and analysed for feasibility due to the Ethiopian government setting ambitious growth targets. The results of the analysis reveal that investors were attracted to Ethiopia through policies that safeguarded investors’ interests, geological attractiveness, afforded tax and duty havens and allow for the repatriation of profits. The research also highlights the negative impact that social unrest and political violence had on mining FDI. The research concludes on its findings that government policies play a key role in attracting investment. Monetary and fiscal policies must be set to alleviate poverty and create economic growth through the attraction of foreign investment. / NG (2020)

by Chan Yeung-Ki. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Includes bibliographical references (leaves 54-55). / ABSTRACT --- p.1 / TABLE OF CONTENTS --- p.2 / Chapter I. --- BACKGROUND --- p.3 / Chapter II. --- THEORETICAL FRAMEWORK --- p.7 / Purchasing Power Parity --- p.7 / Real Exchange Rate --- p.9 / Monetary Approach --- p.12 / Explaining the model --- p.16 / Chapter III. --- APPLICATION --- p.23 / Scenario 1 --- p.39 / Scenario 2 --- p.41 / Chapter IV. --- CONCLUSION --- p.44 / EXHIBIT --- p.47 / BIBLIOGRAPHY --- p.54

Thesis (doctoral) - Freie Universität, Berlin, 2004. / "with 12 figures and tables". Includes bibliographical references ( p. [143]-155).

Professors Bela Balassa and Paul Samuelson (1964) have made a significant contribution to the theories of exchange rate by bringing a new thinking to the most popular exchange rate model, Purchasing Power Parity (PPP). They have elucidated the contribution of productivity in the determination of PPP. Accordingly, the emphasis of this thesis is Balassa and Samuelson’s Productivity Bias Hypothesis (PBH) in Purchasing Power Parity (PPP) and the application thereof to South Africa and Switzerland for the period 1994Q1 -2003Q4. The productivity bias hypothesis that explains real exchange rate movements in terms of sectoral productivities rests on two components: firstly, it implies that the relative price of non-traded goods in each country should reflect the relative productivity of labour in the traded and non-traded goods sectors. Secondly, it assumes that purchasing power parity holds for traded goods. The deviation of PPP from the equilibrium exchange rate or the real exchange rate is directly related to the ratio of productivity in a counter country over that of the base country. With inter-country productivity differences believed to be smaller in the service sector than in the sectors producing goods and with the prices of traded goods equalised through arbitrage, the relative prices of non-traded goods (services) would be directly correlated with productivity levels in individual countries. The thesis employs stationarity and cointegration tests in order to determine the presence of long-term, equilibrium, relationship between PPP and productivity variables of the above-mentioned two countries. The overall finding of this thesis is supportive of the productivity bias hypothesis in purchasing power parity concerning the two countries, South Africa and Switzerland. Accordingly, it has been found out that the deviation from equilibrium exchange rate can be explained by differences in productivity. Though currently being challenged by the service sector, South Africa’s manufacturing sector is assuming an important place in the economy. Given the need for improved competitiveness in the manufacturing sector, it is imperative that policy analysis and formulation render increased emphasis on efficiency and costeffectiveness. Such an integrated approach may aid not only in raising productivity but also in managing the intertwined socio-economic challenges of unemployment, poverty and inequality. / Thesis (M.A.)-University of KwaZulu-Natal, Pietermaritzburg, 2005.

FU, Diss.--Zugl.: Berlin, 2004. / Literaturverz. S.143-155.