scholarly journals Monetary Policy, Model Uncertainty and Exchange Rate Volatility

2010 ◽  
Author(s):  
Agnieszka Markiewicz
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Model Uncertainty ◽  
Exchange Rate Volatility ◽  
Policy Model

scholarly journals Difference in intensity of exchange rate factors in countries with targeting inflation regime

2021 ◽  
Vol 51 (3) ◽  
pp. 125-143
Author(s):  
A.M. Grebenkina ◽  
◽  
A.A. Khandruev ◽  
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Targeting ◽  
Emerging Market ◽  
Exchange Rate Volatility ◽  
Developed Countries ◽  
Exchange Rate Policy ◽  
Nominal Exchange Rate ◽  
Vector Autoregressive ◽  
Market Factors

The paper analyzes features of prime factors of nominal exchange rate in countries with inflation targeting regime and high cross-border financial openness. The paper aims to test the hypothesis about different strength of these factors in developed countries and emerging market economies (EMEs). Using a panel vector autoregressive model and panel data for 2010 — 1st half-year 2020 period for 9 developed countries and 10 EMEs, the paper estimates significance of factors from the side of global commodity and financial markets, as well as the side of national monetary policy. The paper finds some evidence of greater sensitivity of EMEs’ nominal exchange rate to global commodity and financial market factors and a greater sensitivity of developed countries’ nominal exchange rate to national monetary policy. The paper regards this result as an argument for EMEs’ exchange rate policy specification, considering the necessity to cope with heightened exchange rate volatility in these countries under the influence of external factors.

scholarly journals Dynamic Relationship between RMB Exchange Rate and Interest Rate Based on VAR-DCC-GARCH Model

2020 ◽  
Vol 214 ◽  
pp. 03018
Author(s):  
Xuhang Zhao
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rate Volatility ◽  
Garch Model ◽  
Nominal Exchange Rate ◽  
Practical Significance ◽  
Causality Test ◽  
Dynamic Relationship ◽  
Interest Rate Volatility

Based on the daily data of Shibor and nominal exchange rate from 2006 to 2019, this paper constructs VAR model and uses Granger causality test and impulse response model to analyze the dynamic relationship between exchange rate and interest rate. Based on the DCC-GARCH model, this paper analyzes the correlation between exchange rate volatility and interest rate volatility, and concludes that there is a weak negative correlation between exchange rate and interest rate. Both exchange rate and monetary policy will have an important impact on China’s economic environment, so it is of great practical significance to study the joint impact of exchange rate and monetary policy.

scholarly journals Real Time Data

2018 ◽  
Vol 4 (3) ◽  
pp. 147
Author(s):  
Arlind Rama ◽  
Ilir Vika
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Foreign Currency ◽  
Developing Economies ◽  
Exchange Rate Volatility ◽  
Economic News ◽  
Economic Fundamentals ◽  
Us Dollar ◽  
The Impact ◽  
Exchange Rates Volatility

Interpretation of exchange rate volatility in the light of economic fundamentals comprises an issue of interest for policymakers when it comes to implementing the monetary policy. Understanding the impact of economic news on the Lek exchange rate against two main hard currencies, Euro and US dollar, would serve to better orient the monetary policy and forex market agents positioning in time. Exchange rates volatility on economic news in short-term is an often discussed phenomenon in the economic literature, but through this material we tend to measure these effects in the Albanian foreign currency market and contribute in the literature interpreting foreign currency markets volatility in developing economies. Very often, domestic foreign exchange movements are attributed to developments in large international markets. In the case of Albanian Lek volatility analysis, we tend to find answers regarding the importance of economic news coming from the two main economies in focus, Eurozone and the US. Furthermore, we investigate the importance of the economic information flow in Albania in determining the Lek exchange rate against Euro and US dollar. For a period in focus from January 2007 until July 2012, we try to understand if the exchange rate volatility has been a result of economic fundamentals or financial markets stress related economic news.

“New” monetary policy instruments and exchange rate volatility

Empirica ◽  
2015 ◽  
Vol 43 (1) ◽  
pp. 141-165 ◽  
Author(s):  
Cüneyt Akar ◽  
Serkan Çiçek
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Policy Instruments

scholarly journals Interest Rate and Exchange Rate Volatility Spillovers: Multiscale Perspective of Monetary Policy Transmission in Ghana

2020 ◽  
Vol 9 (1) ◽  
pp. 135-167
Author(s):  
Nana Kwame Akosah ◽  
Paul Alagidede ◽  
Eric Schaling
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rate Volatility ◽  
Output Gap ◽  
Monetary Policy Transmission ◽  
Volatility Spillovers ◽  
Policy Transmission ◽  
The Exchange Rate ◽  
Macro Variables

AbstractGhana’s economy is characterised by acute exchange rate volatility alongside persistent and high consumer inflation. This places the economy among the sub-Saharan African countries with the highest inflation over the years. Therefore, we explore in-sample and out-of-sample macro-volatility spillovers to determine the effectiveness of monetary policy and also ascertain the relevance of the exchange rate in Ghana’s interest rate setting at both time and multiscale domains. The study reveals scale-dependent interconnectedness among the macro-variables as their causal linkages broadly intensify at the longer time-scale. We find the real policy rate and the exchange rate to be net transmitters of shocks, while inflation and output gaps are net receivers of shocks from the system. Output gap, however, is the largest net receiver of shocks from the system. The empirical findings generally buttress the prerequisite to uphold exchange rate stability in order to inure general macroeconomic stability in Ghana. In addition, the extent of spillover dynamics from policy interest rate to and from the targeted macro-variables (particularly output gap and inflation) appears to be moderate even in the long run, surmising less effective monetary policy transmission in Ghana.

scholarly journals Exchange Rate Volatility: Does Microeconomic Policy Uncertainty Impact Exchange Rate Volatility?

2021 ◽  
Vol 9 (11) ◽  
pp. 843-849
Author(s):  
Kelly Oniha
Keyword(s):  
United States ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Macroeconomic Policy ◽  
Policy Uncertainty ◽  
Macroeconomic Variables ◽  
The Exchange Rate ◽  
The Impact

Abstract: This paper analyzes the impact of macroeconomic policy uncertainty on the exchange rate volatility in United States. Using newly developed measure of monetary policy uncertainty, and macroeconomic variables, I find that higher monetary policy uncertainty increases the exchange rate volatility.

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