Relationship between exchange rate volatility and interest rates evidence from Ghana

Artikel

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-19

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: autoregressive-distributed lag ; Exchange rate volatility ; interest rate

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Mohammed, Sarpong ; Mohammed, Abubakari ; Nketiah-Amponsah, Edward
• Ereignis: Veröffentlichung
• (wer): Taylor & Francis
• (wo): Abingdon
• (wann): 2021

Weitere Informationen

• DOI: doi:10.1080/23322039.2021.1893258
• Handle: http://hdl.handle.net/10419/270051
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ