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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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Chifurira_Retius_Chinhamu_Knowledge_Dubihlela_Dorah_Co-integration analysis with structural breaks_pdf | Main article | 257.88 kB | Adobe PDF | View/Open |
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