Is the rand a commodity currency? A volatility spillover analysis

Sayed, Ayesha; Charteris, Ailie

doi:10.1080/10293523.2022.2090079

Cited by 5 publications

(5 citation statements)

References 36 publications

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“…The model was able to identify the net transmitters and net recipients of risk and the results are in line with prior works of Sayed and Charteris (2022) on the connectedness and volatility spillover of energy commodities and agricultural commodity prices. This study argued that energy commodities play an integral role in the production process of agricultural commodities and suggested that there is a direct link between the two markets.…”

Section: Conclusion and Policy Recommendationssupporting

confidence: 81%

“…According to Larisa (2015), commodity prices serve as a barometer for the global economy in addition to being a reliable indicator of the state of various country economies and domestic consumer pricing. As a shock to the commodity may be transmitted to the exchange rate, Sayed and Charteris (2022) state that volatility spillovers, which capture risk transmission, may also reflect the degree of connectedness between commodities and the exchange rate.…”

Section: Introductionmentioning

confidence: 99%

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The Risk Transfer among Exchange Rates, Energy Commodities, and Agricultural Commodity Prices in SADC Countries

Vuba,

Qabhobho

2024

IJEEP

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This paper investigates the risk transfer between exchange rates, energy commodities, and agricultural commodity prices in SADC nations from July 29, 2007, to December 18, 2022. The Time-varying parameter Vector Autoregression connectivity technique is specifically used. The total connectivity index for the specific network of energy commodities, currency rates, and agricultural commodities is 24.39%. The energy commodities index (crude oil and heating oil) and the ZAR were the largest shock transmitters, according to averaged dynamic connectedness. In contrast, two SADC currency markets (MWK and MZN), natural gas, and corn were net shock recipients. Furthermore, overall connection indices were shown to change dramatically with high sensitivity to crisis events, particularly the 2007/2008 crisis and the COVID-19 pandemic. As indicated by net directional connection, most energy commodities, as well as the Rand and the Pula, were persistent net transmitters over time. This is especially noteworthy given oil's direct impact on agricultural commodities. The findings of this paper are useful for policymakers who are attempting to maximize public benefit. Policymakers charged with developing policies for economically vulnerable segments of the population should use these findings to examine the potential impact of changes in energy prices on food and currency markets.

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Section: Conclusion and Policy Recommendationssupporting

confidence: 81%

Section: Introductionmentioning

confidence: 99%

The Risk Transfer among Exchange Rates, Energy Commodities, and Agricultural Commodity Prices in SADC Countries

Vuba,

Qabhobho

2024

IJEEP

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“…We focus on South Africa exclusively because of its global position within the African continent and its importance in the global commodities markets. In addition, we concur with Sayed and Charteris [3] that a single country study can provide great insights not identifiable in multiple country studies. Generally, we find a higher degree of interconnectedness within the network throughout the sample period.…”

Section: Introductionsupporting

confidence: 86%

“…In addition, South Africa is the eighth global producer of gold and, notably, the third largest in terms of global gold reserves, after Australia and Russia. Furthermore, the rand is one of the most traded emerging market currencies and, globally, among the top 20 [2,3]. Understanding how it is integrated with commodities is crucial, considering the sovereign risk premium.…”

Section: Introductionmentioning

confidence: 99%

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Asymmetric TVP-VAR Connectedness Approach: The Case of South Africa

Nzama¹,

Sithole²,

Kahyaoğlu³

2023

Business, Management and Economics

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This chapter assesses connectedness of critical financial variables within the South African context. The key variables determining countries’ international financial risk levels are the prices of their main export goods in the international markets. From this perspective, there is a connection between the prices of financialised commodities and precious metals in international markets, the exchange rates of the countries supplying these goods to the world economy and their risk indicators. As a result, a spill-over effect of financial risk increases the stress between the price movements in international markets, especially in countries whose national economy is based on the precious metals in question, and the risk indicators in international markets. From this point of view, the connection firstly between the gold prices (and secondly between platinum prices), which have an impact on the world economy, and the credit default swaps (CDSs), which show the country’s risk level, and exchange rates of South Africa (RD) are examined. New econometric techniques are used for analysis based on the relevant literature. The empirical findings obtained from the study will be a source of information in the process of forming the economic policy of South Africa.

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The impact of US-Sino trade war on commodity-currency nexus

Go,

Yong

2024

Journal of the Asia Pacific Economy

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Is the rand a commodity currency? A volatility spillover analysis

Cited by 5 publications

References 36 publications

The Risk Transfer among Exchange Rates, Energy Commodities, and Agricultural Commodity Prices in SADC Countries

The Risk Transfer among Exchange Rates, Energy Commodities, and Agricultural Commodity Prices in SADC Countries

Asymmetric TVP-VAR Connectedness Approach: The Case of South Africa

The impact of US-Sino trade war on commodity-currency nexus

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