The influence of interest rates on the exchange rate and exchange rate volatility

Florin Mavris and Dumitru-Cristian Oanea
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Florin Mavris: Bucharest University of Economic Studies, Romania
Dumitru-Cristian Oanea: Bucharest University of Economic Studies, Romania

Theoretical and Applied Economics, 2014, vol. XXI, issue Special, 246-257

Abstract: The dynamic of interest rates has been the subject of attention by both traders and researchers. We see in what manner different factors that depend on the actions of central banks that influence them by using a GARCH type model and we compare its performance with other models to see what approach explains and predicts the movement of the exchange rate. To better understand the type of model that is applicable the data is tested for heteroskedasticity, and only after that the model is implemented.

Keywords: exchange rate; interest rate; currency risk; repo rate; GARCH. (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xxi:y:2014:i:special:p:246-257

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