Please use this identifier to cite or link to this item: http://hdl.handle.net/11189/5804
Title: Co-integration analysis with structural breaks: South Africa’s gold mining index and USD/ZAR exchange rate
Authors: Chifurira, Retius 
Chinhamu, Knowledge 
Dubihlela, Dorah 
Keywords: USD/ZAR exchange rate;Gold mining index;Unit root tests;Breaking points;Cointegration
Issue Date: 2016
Publisher: business perspectives
Abstract: This paper examines the presence of cointegration between South African gold mining index and USD/ZAR exchange rate. The results show that gold index and USD/ZAR exchange rate series are both I(1) and are cointegrated. The Granger causality test shows a two-way directional causality between gold index and USD/ZAR exchange rate for the period 9 June 2005-9 June 2015. By accounting for possible structural breaks, the Zivot-Andrews unit root test suggests two different breaking points in the data. By using the breaking dates to divide the dataset into 3 sub-periods, the results show that gold index and USD/ZAR exchange rate series are not cointegrated. The Granger causality test shows no causality between the two variables. This finding suggests that gold mining index does not play a key role in explaining the trends in the exchange rate and likewise exchange rate does not affect gold mining index.
URI: http://dx.doi.org/10.21511/bbs.11(3).2016.11
http://hdl.handle.net/11189/5804
Appears in Collections:BUS - Journal Articles (DHET subsidised)

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