South African Reserve Bank Working Paper Series

WP/17/03

Order flow and rand/dollar exchange rate dynamics Aadila Hoosain, Alta Joubert and Alain Kabundi

Authorised for distribution by Chris Loewald

December 2017

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Author(s) Period Exchange ratemeasure

Method Variables* BEERMisalignment

Aron et.al (1997) 1970-1995 REER Single EquationECM

TOT, OPEN, COMM,NFA, GOVT, CAP

No

Balcilar et.al (2014) 1981-2013 REER TP-VAR INT, INFL, GDP No

DeJager (2012) 1982-2011 REER VECM PROD, INT, COMM,OPEN, CAPT, GOV

Yes

Du Plessis (2005) 1970-2002 REER VECM INT, PROD, COMM,OPEN, NFA, GOV

No

Fattouh et.al (2008) 1975-2007 REER MS-VECM GOLD, INT, INFL No

Frankel (2007) 1984-2007 Bilateral USD/ZARRER

OLS TOT, INT, COMM,CAP, RISK

No

Macdonald and Ricci(2004)

1970-2002 REER VECM INT, PROD, COMM,OPEN, NFA, GOV

Yes

Lacerda et.al (2010) 1972-2007 Nominal USD/ZAR MS-VECM INT, INFL, GOLD,OIL

No

Saayman (2007) 1978-2005 Bilateral USD/ZARRER

VECM PROD, INT, GOLD,OPEN, GOVT, RES,

No

Saayman (2010) 1999-2008 Bilateral RERs Panel DOLS& FMOLS

PROD, OPEN, CAP,GOLD, RES

No

*INT (real interest rate differential), TOT (terms of trade), PROD (productivity differential), OPE N (external openness), COMM (commodity prices),

NFA (net foreign assets), GOV (government expenditure), INFL (relative inflation), RE S (foreign exchange reserves), CAPT (capital flows), M2 (money supply),

GOLD (gold price), RISK (country risk indicator), GDP(relative GDP).