Relationship between Exchange Rate Volatility and Interest Rates Evidence from Ghana
Date
2021
Journal Title
Journal ISSN
Volume Title
Publisher
Taylor & Francis Group
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
Description
Research Article
Keywords
Exchange rate volatility, interest rate, autoregressive-distributed lag