The impacts of public expenditure innovations on real exchange rate volatility in South Africa

Naser Yenus Nuru and Hayelom Yrgaw Gereziher

No wp-2021-72, WIDER Working Paper Series from World Institute for Development Economic Research (UNU-WIDER)

Abstract: This study investigates the impacts of public expenditure innovations on exchange rate volatility in South Africa using quarterly data for the period 1970-2019. To achieve this objective, a version of the vector autoregressive impulse response model proposed by Jordà is employed and the innovations are identified recursively. The impulse response functions indicate that public expenditure innovation has a significant depreciating trend impact on exchange rate volatility, and its impact relies on the type of fiscal expenditure innovation.

Keywords: Public expenditure; impulse response; Exchange rate; Volatility; South Africa; Structural VAR (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-afr
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