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.

摘要

本文考察了加纳利率对汇率波动的影响。它利用了从2000年第1季度到2017年第2季度的每季度时间序列数据集和自回归分布式滞后模型以及矢量误差校正模型来研究变量之间的长期和短期关系。结果表明，在长期模型中，汇率波动受货币供应量，通货膨胀，中央银行政策利率和加纳证券交易所综合指数的影响。但是，在短期模型中，发现汇率波动受到其过去价值和中央银行政策利率的显着影响。