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Relationship between Exchange Rate Volatility and Interest Rates Evidence from Ghana.

Authors :
Mohammed, Sarpong
Mohammed, Abubakari
Nketiah-Amponsah, Edward
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