Relationship between Exchange Rate Volatility and Interest Rates Evidence from Ghana

被引:5
|
作者
Mohammed, Sarpong [1 ]
Mohammed, Abubakari [2 ]
Nketiah-Amponsah, Edward [3 ]
机构
[1] West Africa Examinat Council, Internal Audit Dept, Accra, Ghana
[2] CSIR, Sci & Technol Policy Res Inst STEPRI, Accra, Ghana
[3] Univ Ghana, Dept Econ, Accra, Ghana
来源
COGENT ECONOMICS & FINANCE | 2021年 / 9卷 / 01期
关键词
Exchange rate volatility; interest rate; autoregressive-distributed lag; INFLATION;
D O I
10.1080/23322039.2021.1893258
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
引用
收藏
页数:19
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