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Relationship between Exchange Rate Volatility and Interest Rates Evidence from Ghana.
- Source :
- Cogent Economics & Finance; Jan 2021, Vol. 9 Issue 1, p1-19, 19p
- Publication Year :
- 2021
-
Abstract
- This paper examines the effect of interest rates on exchange rate volatilities in Ghana. It utilizes the Quarterly Time Series dataset spanning 2000 Quarter 1 to 2017 Quarter 2 and the Autoregressive Distributed Lag model as well as the Vector Error Correction Model to investigate the long-run and short-run relationships between the variables. The results showed that in the long-run model, exchange rate volatility was seen to be influenced by money supply, inflation, Central Bank's policy rate, and the Ghana Stock Exchange composite index. However, in the short-run model, exchange rate volatility was found to be significantly influenced by its past values and the Central Bank's policy rate. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 23322039
- Volume :
- 9
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Cogent Economics & Finance
- Publication Type :
- Academic Journal
- Accession number :
- 154319916
- Full Text :
- https://doi.org/10.1080/23322039.2021.1893258