This chapter assesses connectedness of critical financial variables within the South African context. The key variables determining countries’ international financial risk levels are the prices of their main export goods in the international markets. From this perspective, there is a connection between the prices of financialised commodities and precious metals in international markets, the exchange rates of the countries supplying these goods to the world economy and their risk indicators. As a result, a spill-over effect of financial risk increases the stress between the price movements in international markets, especially in countries whose national economy is based on the precious metals in question, and the risk indicators in international markets. From this point of view, the connection firstly between the gold prices (and secondly between platinum prices), which have an impact on the world economy, and the credit default swaps (CDSs), which show the country’s risk level, and exchange rates of South Africa (RD) are examined. New econometric techniques are used for analysis based on the relevant literature. The empirical findings obtained from the study will be a source of information in the process of forming the economic policy of South Africa.