Exchange Rate Volatility and Oil Prices in South Africa


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Authors

  • Nyiko Worship Hlongwane
  • Olebogeng David Daw North-West University
  • Leeto Shogole
  • Selinah Ribese North-West University

DOI:

https://doi.org/10.32479/ijeep.12949

Keywords:

oil prices, exchange rate volatility, TGARCH, SARB, South Africa

Abstract

The study examines the oil prices and exchange rate volatilities in South Africa. The study employs monthly time series data spanning for the period from 1960 M1 to 2021M11 using data collected from the SARB. The study employs a TGARCH model to analyse the volatilities between oil prices and exchange rate. The study found that oil prices have a negative statistically significant impact on the exchange rates in South Africa. The study therefore recommends that the monetary authorities must monitor oil prices as they have an ability to cause exchange rate volatilities.

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Author Biographies

Olebogeng David Daw, North-West University

Department of Economis, Professor

Leeto Shogole

Department of Statistics, Masters Student

Selinah Ribese, North-West University

Department of Economics, Honours Student

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Published

2022-05-18

How to Cite

Hlongwane, N. W., Daw, O. D., Shogole, L., & Ribese, S. . (2022). Exchange Rate Volatility and Oil Prices in South Africa. International Journal of Energy Economics and Policy, 12(3), 315–322. https://doi.org/10.32479/ijeep.12949

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