Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability

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dc.contributor.advisorBiekpe, Nicholasen_ZA
dc.contributor.advisorSokolovski, Valerien_ZA
dc.contributor.authorNdemera, Tendaien_ZA
dc.date.accessioned2018-02-07T09:07:34Z
dc.date.available2018-02-07T09:07:34Z
dc.date.issued2017en_ZA
dc.description.abstractThe 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.en_ZA
dc.identifier.apacitationNdemera, T. (2017). <i>Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Research of GSB. Retrieved from http://hdl.handle.net/11427/27370en_ZA
dc.identifier.chicagocitationNdemera, Tendai. <i>"Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Research of GSB, 2017. http://hdl.handle.net/11427/27370en_ZA
dc.identifier.citationNdemera, T. 2017. Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Ndemera, Tendai AB - 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. DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability TI - Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability UR - http://hdl.handle.net/11427/27370 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/27370
dc.identifier.vancouvercitationNdemera T. Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability. [Thesis]. University of Cape Town ,Faculty of Commerce ,Research of GSB, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/27370en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentResearch of GSBen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherDevelopment Financeen_ZA
dc.subject.otherExchange Ratesen_ZA
dc.subject.otherExchange Controlen_ZA
dc.titleLiberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stabilityen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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