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What DCC-GARCH model tell us about the effect of the gold price’s volatility on south african exchange rate?
Journal of Economics Library
View Archive Info| Field | Value | |
| Title |
What DCC-GARCH model tell us about the effect of the gold price’s volatility on south african exchange rate?
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| Creator |
KEBALO, Léleng; University of Lomé
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| Subject |
Volatility; Exchange rate; Gold price; DCC-GARCH
C50; F30; F40. |
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| Description |
Abstract:The aim of this paper is to study through a model rarely used and little known, the effect of the gold price’s volatility on the south african real exchange rate. More precisely, it is to show that, through the dynamic conditional correlation (DCC) GARCH model; we get results that are consistent with economic works (Frankel, 2007) on the relationship between gold price’s volatility and the real exchange rate. The period retained in this research paper going from May 1995 to April 2014 and the frequency of the data is monthly. After analysis, we find that in the short term, the real exchange rate is more sensitive to its own volatility, compared to the effect of the volatility of gold price. This last effect, although high, is less persistent on the real exchange rate.Keywords: Volatility, Exchange rate, Gold price, DCC-GARCH.JEL. C50, F30, F40.
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| Publisher |
Journal of Economics Library
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| Contributor |
—
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| Date |
2016-12-18
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.kspjournals.org/index.php/JEL/article/view/1018
10.1453/jel.v3i4.1018 |
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| Source |
Journal of Economics Library; Vol 3, No 4 (2016): December; 570-582
2149-2379 |
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| Language |
eng
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| Relation |
http://www.kspjournals.org/index.php/JEL/article/view/1018/1114
http://www.kspjournals.org/index.php/JEL/article/downloadSuppFile/1018/480 http://www.kspjournals.org/index.php/JEL/article/downloadSuppFile/1018/481 http://www.kspjournals.org/index.php/JEL/article/downloadSuppFile/1018/482 |
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| Rights |
Copyright (c) 2017 Journal of Economics Library
http://creativecommons.org/licenses/by-nc/4.0 |
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