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Do monetary policy announcements affect foreign exchange returns and volatility? Some evidence from high-frequency intra-day South African data

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  • Cyril May
  • Greg Farrell
  • Jannie Rossouw

Abstract

Our empirical study addresses the question: How does the South African rand respond to scheduled domestic repo rate announcements – surprises and expected changes? Analysis results suggest that monetary policy news is an important determinant of the exchange rate. An unexpected repo rate change, or no change when the market anticipates one, leads to statistically […]

Suggested Citation

  • Cyril May & Greg Farrell & Jannie Rossouw, 2017. "Do monetary policy announcements affect foreign exchange returns and volatility? Some evidence from high-frequency intra-day South African data," Working Papers 128, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:128
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    Cited by:

    1. Isabel Argimón & Jenifer Ruiz, 2010. "The effects of national discretions on banks," Working Papers 1029, Banco de España.
    2. Marchionne, Francesco & Pisicoli, Beniamino & Fratianni, Michele, 2022. "Regulation, financial crises, and liberalization traps," Journal of Financial Stability, Elsevier, vol. 63(C).
    3. TCHANA TCHANA, Fulbert, 2008. "Regulation and Banking Stability: A Survey of Empirical Studies," MPRA Paper 9298, University Library of Munich, Germany, revised 30 May 2008.
    4. Wajih Khallouli & Mahmoud Sami Nabi, 2010. "Financial Crises’ Prevention and Recovery," Working Papers 529, Economic Research Forum, revised 06 Jan 2010.
    5. Ivan Gržeta & Saša Žiković & Ivana Tomas Žiković, 2023. "Size matters: analyzing bank profitability and efficiency under the Basel III framework," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
    6. Marchionne, Francesco & Pisicoli, Beniamino & Fratianni, Michele, 2022. "Regulation and crises: A concave story," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    7. Hamdaoui, Mekki & Maktouf, Samir, 2020. "Financial reforms and banking system vulnerability: The role of regulatory frameworks," Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 184-205.
    8. Fendel Ralf & Stremmel Hanno, 2016. "Characteristics of Banking Crises: A Comparative Study with Geographical Contagion," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(3), pages 349-388, May.

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    More about this item

    Keywords

    central bank; Monetary Policy; Other Macroeconomic Variables; Risk and Uncertainty; South Africa;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • O24 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Trade Policy; Factor Movement; Foreign Exchange Policy

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