The main goal of this study is to examine the effect of real effective exchange rate uncertainty on domestic investment for the South African economy over the sample period 1985Q1–2019Q2. To address this objective, Jordà’s (2005) local projection method is employed in this study. The generalised impulse response functions indicate that domestic investment decreases between the second and seventh quarters in response to one standard deviation shock in exchange rate uncertainty. Furthermore, high exchange rate uncertainty affects domestic investment negatively while low exchange rate uncertainty affects domestic investment positively. In other words, domestic investment declines due to a rise in exchange rate uncertainty while a drop in exchange rate uncertainty enhances domestic investment. Regarding the effects of control variables, output and export influences domestic investment positively and significantly. Inflation, however, has a negative and significant effect on domestic investment. Lastly, the Diks–Panchenko nonlinear Granger’s causality confirms bidirectional causality between exchange rate uncertainty and domestic investment.

JEL Classification: C32, E22, F31, F41

本研究的主要目标是检验 1985 年第一季度至 2019 年第二季度样本期间实际有效汇率不确定性对南非经济国内投资的影响。为了实现这一目标，本研究采用了 Jordà (2005) 的局部投影方法。广义脉冲响应函数表明，第二季度和第七季度之间国内投资减少，以响应汇率不确定性中的一个标准差冲击。此外，高汇率不确定性对国内投资产生负面影响，而低汇率不确定性对国内投资产生积极影响。换言之，国内投资因汇率不确定性上升而下降，而汇率不确定性下降则促进了国内投资。关于控制变量的影响，产出和出口对国内投资产生积极而显着的影响。然而，通货膨胀对国内投资有负面和显着的影响。最后，Diks-Panchenko 非线性格兰杰因果关系证实了汇率不确定性与国内投资之间的双向因果关系。

JEL 分类： C32、E22、F31、F41