We are pleased to publish a new Policy Paper on explaining the level of the South African rand exchange rate.
Using a Bayesian regime‐switching Vector Error Correction model that allows for the drivers of exchange rate movements to change over time, we show that the historical dynamics of the value of the rand can be explained by a small number of macroeconomic fundamentals.
The paper is publicly available here.
For those interested in our policy research and automated analytics, feel free to contact us for a demonstration.
