TY - JOUR
T1 - Relationship between Exchange Rate Volatility and Interest Rates Evidence from Ghana
AU - Mohammed, Sarpong
AU - Mohammed, Abubakari
AU - Nketiah-Amponsah, Edward
N1 - Publisher Copyright:
© 2021 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license.
PY - 2021
Y1 - 2021
N2 - 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.
AB - 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.
KW - Exchange rate volatility
KW - autoregressive-distributed lag
KW - interest rate
UR - http://www.scopus.com/inward/record.url?scp=85103210968&partnerID=8YFLogxK
U2 - 10.1080/23322039.2021.1893258
DO - 10.1080/23322039.2021.1893258
M3 - Article
AN - SCOPUS:85103210968
SN - 2332-2039
VL - 9
JO - Cogent Economics and Finance
JF - Cogent Economics and Finance
IS - 1
M1 - 1893258
ER -