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n African Finance Journal - The impact of Rand / US Dollar exchange rate volatility on the performance of futures markets for agricultural commodities

Volume 13, Issue 1
  • ISSN : 1605-9786
USD

 

Abstract

In this paper, we study the impact of Rand / US Dollar exchange rate volatility on the performance of futures markets for agricultural commodities. First, the performance of futures markets is assessed using a dynamic price asymmetric model. Second, Rand / US Dollar exchange rate volatility is measured using GARCH approach and its variations. By means of bootstrapping technique the volatility measure is used to determine the impact of Rand / US Dollar exchange rate volatility on the performance of futures markets for agricultural commodities. The results reveal that the stability of Rand / US Dollar exchange rate would not improve the performance of futures market for agricultural commodities.

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/content/finj/13/1/EJC33756
2011-01-01
2016-12-10

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