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Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability
The 2007/08 global financial crisis, including pre- and post-crisis reform, led economies to reexamine the concept of capital controls. Theoretical and empirical literature has been divided regarding their effectiveness. This research paper assesses the impact of capital controls on exchange rate st...
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| Format: | Thesis |
| Language: | English |
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Research of GSB
2018
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| _version_ | 1867613302437183488 |
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| access_status_str | Open Access |
| author | Ndemera, Tendai |
| author2 | Biekpe, Nicholas |
| author_browse | Biekpe, Nicholas Ndemera, Tendai |
| author_facet | Biekpe, Nicholas Ndemera, Tendai |
| author_sort | Ndemera, Tendai |
| collection | Thesis |
| description | The 2007/08 global financial crisis, including pre- and post-crisis reform, led economies to reexamine the concept of capital controls. Theoretical and empirical literature has been divided regarding their effectiveness. This research paper assesses the impact of capital controls on exchange rate stability in South Africa (particularly exchange restrictions used to insulate economies from excessive currency volatility) using time-series analysis and employs event study methodology (Kothari & Warner, 2006; MacKinlay, 1997) to measure the impact of the capital control actions. More specifically, this research paper evaluates the impact of capital controls on (a) exchange rate returns, (b) volatility and (c) liquidity in South Africa for the period commencing 1 January 1999 to 31 December 2014 including the period during the 2007/08 financial crisis. The research paper applies methodology from empirical research on capital controls and currency stability (Pandey, Pasricha, Patnaik, & Shah, 2015), volatility using standard deviation and the GARCH (1,1) model (Abdalla, 2012; Bollerslev, 1986; Farrell, 2001) and liquidity (Karnaukh, Ranaldo, & Söderlind, 2015). In addition, it attempts to determine the effect on exchange rate movements directly attributable to capital controls i.e., the local factors, by removing the dollar risk factor that constitute a significant portion of exchange rate time series as noted by Verdelhan (2015), which serves as the base model for the event study. The research paper finds that overall the key capital controls selected do not have a significant impact on the ZAR/USD exchange rate with limited evidence of an effect on returns, volatility and liquidity. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/27370 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:59.204Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| 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:11427/27370 Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability Ndemera, Tendai Biekpe, Nicholas Sokolovski, Valeri Development Finance Exchange Rates Exchange Control The 2007/08 global financial crisis, including pre- and post-crisis reform, led economies to reexamine the concept of capital controls. Theoretical and empirical literature has been divided regarding their effectiveness. This research paper assesses the impact of capital controls on exchange rate stability in South Africa (particularly exchange restrictions used to insulate economies from excessive currency volatility) using time-series analysis and employs event study methodology (Kothari & Warner, 2006; MacKinlay, 1997) to measure the impact of the capital control actions. More specifically, this research paper evaluates the impact of capital controls on (a) exchange rate returns, (b) volatility and (c) liquidity in South Africa for the period commencing 1 January 1999 to 31 December 2014 including the period during the 2007/08 financial crisis. The research paper applies methodology from empirical research on capital controls and currency stability (Pandey, Pasricha, Patnaik, & Shah, 2015), volatility using standard deviation and the GARCH (1,1) model (Abdalla, 2012; Bollerslev, 1986; Farrell, 2001) and liquidity (Karnaukh, Ranaldo, & Söderlind, 2015). In addition, it attempts to determine the effect on exchange rate movements directly attributable to capital controls i.e., the local factors, by removing the dollar risk factor that constitute a significant portion of exchange rate time series as noted by Verdelhan (2015), which serves as the base model for the event study. The research paper finds that overall the key capital controls selected do not have a significant impact on the ZAR/USD exchange rate with limited evidence of an effect on returns, volatility and liquidity. 2018-02-07T09:07:34Z 2018-02-07T09:07:34Z 2017 Master Thesis Masters MCom http://hdl.handle.net/11427/27370 eng application/pdf Research of GSB Faculty of Commerce University of Cape Town |
| spellingShingle | Development Finance Exchange Rates Exchange Control Ndemera, Tendai Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability |
| thesis_degree_str | Master's |
| title | Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability |
| title_full | Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability |
| title_fullStr | Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability |
| title_full_unstemmed | Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability |
| title_short | Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability |
| title_sort | liberalisation of capital controls a review of south african exchange controls and their impact on exchange rate stability |
| topic | Development Finance Exchange Rates Exchange Control |
| url | http://hdl.handle.net/11427/27370 |
| work_keys_str_mv | AT ndemeratendai liberalisationofcapitalcontrolsareviewofsouthafricanexchangecontrolsandtheirimpactonexchangeratestability |