Central bank transparency and the volatility of exchange rates / Stefan Eichler, Helge C.N. Littke
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Discovery
1002560608
URN
urn:nbn:de:gbv:3:2-80759
DOI
ISBN
ISSN
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle (Saale), Germany : Halle Institute for Economic Research (IWH), 02. November 2017
Umfang
1 Online-Ressource (III, 66 Seiten, 2,04 MB) : Diagramme
Ausgabevermerk
Sprache
eng
Anmerkungen
Inhaltliche Zusammenfassung
We analyze the effect of monetary policy transparency on bilateral exchange rate volatility. We test the theoretical predictions of a stylized model using panel data for 62 currencies from 1998 to 2010. We find strong empirical evidence that an increase in the availability of information about monetary policy objectives decreases exchange rate volatility. Using interaction models, we find that this effect is more pronounced for countries with a lower flexibility of goods prices, a lower level of central bank conservatism, and a higher interest rate sensitivity of money demand.
Schriftenreihe
IWH-Diskussionspapiere ; 2017, no. 22 (November 2017) ppn:837399270