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Title
Relationship between Exchange Rate Volatility and Interest Rates Evidence from Ghana |
Full text
https://doi.org/10.1080/23322039.2021.1893258; http://ugspace.ug.edu.gh/handle/123456789/37635 |
Date
2021 |
Author(s)
Mohammed, S.; Mohammed, A.; Nketiah-Amponsah, E. |
Abstract
Research Article - 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 |
Subject(s)
Exchange rate volatility; interest rate; autoregressive-distributed lag |
Language
en |
Publisher
Taylor & Francis Group |
Type of publication
Article |
Format
application/pdf |
Repository
Accra - University of Ghana
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Added to C-A: 2022-01-24;09:26:29 |
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