THE IMPACT OF RAND/US DOLLAR EXCHANGE RATE VOLATILITY ON THE PERFORMANCE OF FUTURES MARKETS FOR AGRICULTURAL COMMODITIES

 

Motlatjo B. Moholwa,
Land Bank and University of Johannesburg, South Africa

Guangling (Dave) Liu
University of Stellenbosch, South Africa

 

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.