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The relationship between commodity price volatility and exchange rate stability in a single commodity dependent economy: The case of Zambia
This study examines the empirical relationship between monthly spot copper price movements and monthly Zambian Kwacha / US Dollar spot exchange rates, for the period January 2005 to February 2015. The ARDL bounds short-run estimate reveals there is both positive and negative coefficient interaction...
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| Format: | Thesis |
| Language: | English |
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Research of GSB
2017
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| _version_ | 1867613210535788544 |
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| access_status_str | Open Access |
| author | Anderson, Larry |
| author2 | Gossel, Sean J |
| author_browse | Anderson, Larry Gossel, Sean J |
| author_facet | Gossel, Sean J Anderson, Larry |
| author_sort | Anderson, Larry |
| collection | Thesis |
| description | This study examines the empirical relationship between monthly spot copper price movements and monthly Zambian Kwacha / US Dollar spot exchange rates, for the period January 2005 to February 2015. The ARDL bounds short-run estimate reveals there is both positive and negative coefficient interaction of copper price movements on the exchange rates in the short-run. However, the overall impact of copper prices on the exchange rate, is not significant in the short-run. The ARDL bounds test also confirms the presence of a long-run relationship between copper prices and the exchange rate. The coefficient estimates reveal that both the consumer price index and the terms-of-trade have a statistical weak impact on the exchange rate in both the short and long run. The study finds that Zambia's GDP has a negative impact on the exchange rate in the short-run, but has a statistically significant positive long-run effect. China's GDP, is used as a proxy to capture foreign demand for copper, it has both a positive and negative interaction on the exchange rate in the short-run and a negative effect in the long-run. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/25642 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:31.718Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | Research of GSB |
| publisherStr | Research of GSB |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/25642 The relationship between commodity price volatility and exchange rate stability in a single commodity dependent economy: The case of Zambia Anderson, Larry Gossel, Sean J Development Finance This study examines the empirical relationship between monthly spot copper price movements and monthly Zambian Kwacha / US Dollar spot exchange rates, for the period January 2005 to February 2015. The ARDL bounds short-run estimate reveals there is both positive and negative coefficient interaction of copper price movements on the exchange rates in the short-run. However, the overall impact of copper prices on the exchange rate, is not significant in the short-run. The ARDL bounds test also confirms the presence of a long-run relationship between copper prices and the exchange rate. The coefficient estimates reveal that both the consumer price index and the terms-of-trade have a statistical weak impact on the exchange rate in both the short and long run. The study finds that Zambia's GDP has a negative impact on the exchange rate in the short-run, but has a statistically significant positive long-run effect. China's GDP, is used as a proxy to capture foreign demand for copper, it has both a positive and negative interaction on the exchange rate in the short-run and a negative effect in the long-run. 2017-10-12T13:59:22Z 2017-10-12T13:59:22Z 2017 Master Thesis Masters MCom http://hdl.handle.net/11427/25642 eng application/pdf Research of GSB Faculty of Commerce University of Cape Town |
| spellingShingle | Development Finance Anderson, Larry The relationship between commodity price volatility and exchange rate stability in a single commodity dependent economy: The case of Zambia |
| thesis_degree_str | Master's |
| title | The relationship between commodity price volatility and exchange rate stability in a single commodity dependent economy: The case of Zambia |
| title_full | The relationship between commodity price volatility and exchange rate stability in a single commodity dependent economy: The case of Zambia |
| title_fullStr | The relationship between commodity price volatility and exchange rate stability in a single commodity dependent economy: The case of Zambia |
| title_full_unstemmed | The relationship between commodity price volatility and exchange rate stability in a single commodity dependent economy: The case of Zambia |
| title_short | The relationship between commodity price volatility and exchange rate stability in a single commodity dependent economy: The case of Zambia |
| title_sort | relationship between commodity price volatility and exchange rate stability in a single commodity dependent economy the case of zambia |
| topic | Development Finance |
| url | http://hdl.handle.net/11427/25642 |
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