What are the determinants of exchange rate volatility

The study also finds that volatility of output, commodity prices, money supply and foreign reserves significantly influence ZAR volatility. Keywords: Exchange Rate   1 Mar 2013 Having obtained the volatility of exchange rate through the GARCH (1,1) techniques, the ECM was used to examine the various determinants of 

The study also finds that volatility of output, commodity prices, money supply and foreign reserves significantly influence ZAR volatility. Keywords: Exchange Rate   1 Mar 2013 Having obtained the volatility of exchange rate through the GARCH (1,1) techniques, the ECM was used to examine the various determinants of  16 Mar 2017 Determinants of Exchange Rate Volatility: New Estimates from Nigeria. Eastern Journal of Economics and Finance. Vol. 3, No. 1, 1-12, 2017. Interest rate differentials and inflation rate differentials thus account for 67% of the 71% variation in exchange rate volatility in South Africa, with trade openness,  The naira exchange rate depreciation and volatility is among the vast macroeconomic maladjustments which have unfolded in the Nigerian economy in the 

Determinants of Exchange Rate Volatility: The Case of the New EU Members⁄ Juraj Stan•c¶‡k CERGE{EIy January 2006 Abstract Exchange rate stability is not only a criterion for joining the EMU but also a fundamental property of stable economic development. At the present time, new members of the EU are trying to achieve this stability. However,

The main objective of this study is to analyze the determinants of exchange rate volatility of the Kenyan shillings against world major currencies. 1.3.1 Specific Objectives 1. To determine the effect of interest rate on the exchange rate volatility of the Kenyan Shilling against world major currencies. 2. exchange rate volatility in Nigeria from 1981 through 2008. Having obtained the volatility of exchange rate through the GARCH (1,1) techniques, the ECM was used to examine the various determinants of exchange rate volatility in Nigeria, while the co-integration analysis reveals the presence of a long term equilibrium Downloadable! This paper investigates the determinants of exchange rate volatility in South Africa for the period 1986-–2013 using the New Open Economy Macroeconomics model by Obstfeld & Rogoff (1996) and Hau (2002). The main focus of the paper is to test the hypothesis that economic openness decreases Rand (ZAR) volatility. This follows South AfricaÂ’s liberalisation of its capital The determinants of exchange rate volatility are of interest because of the exchange rates’ potential linkages to other economic variables. A common supposition is that volatile exchange This paper therefore, investigates the determinants of real exchange rate volatility in Nigeria from 1981 through 2008. Having obtained the volatility of exchange rate through the GARCH (1 ,1) techniques, the ECM was used to examine the various determinants of exchange rate volatility in Nigeria, while the co-integration analysis reveals

Issacs K. Kemboi. Lecturer. Department of Economics, School of Business and Economics Moi University, P.O. Box 3900-30100, Eldoret, Kenya.

1 Feb 2008 2 By doing so, we obtain adjusted measures of volatility and flexibility that are purged from any collinearity with the standard growth determinants. The few studies that have been undertaken in Kenya on the subject of exchange rate behavior have mainly focused on explaining the determinants of exchange  7 Jun 2018 Why do the exchange rates between currencies fluctuate? This infographic looks at six major factors that drive these movements. Exchange rate volatility in LDCs. : some findings from the Ghanaian, Mozambican and Tanzanian markets. Kwame Poku Osei-Assibey. 8 Key Factors that Affect Foreign Exchange Rates. 1. Inflation Rates. Changes in market inflation cause changes in currency exchange rates. A country with a lower inflation rate than another's 2. Interest Rates. 3. Country’s Current Account / Balance of Payments. 4. Government Debt. 5. Terms of

Exchange rate is one of the determinants used in assessing the performance of an economy. A very strong exchange rate is a reflection of a strong and viable economy. On the other hand, a very weak currency is a reflection of a very vulnerable and weak economy.

effects on the exchange rate. The results implied that higher interest rates in the country cause a depreciation of the Kenya shillings, which was contrary to interest  Abstract : Exchange rate is an important macroeconomic policy instrument which effects all macroeconomics variables. Thus fluctuations in real exchange rate  7 Jul 2014 The presented analysis may help to gain an understanding of the determinants of the most destabilizing components of exchange rate volatility  22 Oct 2016 size in which exchange rate volatility positively and significantly Where gdpt is economic growth, Zt is a vector of growth determinants  The purpose of this study is to identify key macroeconomic variables that determine exchange rate volatility in South Africa, and to also determine the contribution  This study aimed at investigating macroeconomic determinants of Exchange Rate volatility in Uganda. The study was based on time series quarterly data from  

effects on the exchange rate. The results implied that higher interest rates in the country cause a depreciation of the Kenya shillings, which was contrary to interest 

Shilling against world major currencies. 4. To ascertain the effect of money supply on exchange rate volatility of the Kenyan Shilling against world major currencies. 2.0 Research gaps Despite ample studies having been done and with existing literature on exchange rate volatility in Aside from factors such as interest rates and inflation, the exchange rate is one of the most important determinants of a country’s relative level of economic health. Exchange rates play a vital role in a country’s level of trade, which is critical to most every free market economy in the world. Exchange rate is one of the determinants used in assessing the performance of an economy. A very strong exchange rate is a reflection of a strong and viable economy. On the other hand, a very weak currency is a reflection of a very vulnerable and weak economy. factors affecting exchange rate volatility are financial openness, net foreign asset and interest rate, fiscal balance, economic (trade) openness, inflation, inflation volatility, commodity prices, oil prices, output, domestic output movements, growth rate, volatility of output, government expenditures, money supply growth, money supply volatility, terms of trade shocks, FDI flows, foreign reserves, current account balance, domestic and external debts. Determinants of the Exchange Rate in Too Much Volatility? Exchange-Rate Overshooting In 1980 the US$ was 1.2 Canadian, by 1985 it was back to 1.2, then rose to 1.6 in 2000, only to fall back to 1.2 in 2005, and fall to less than 1.00 in 2007, only to come back to 1.2 today. The main objective of this study is to analyze the determinants of exchange rate volatility of the Kenyan shillings against world major currencies. 1.3.1 Specific Objectives 1. To determine the effect of interest rate on the exchange rate volatility of the Kenyan Shilling against world major currencies. 2. exchange rate volatility in Nigeria from 1981 through 2008. Having obtained the volatility of exchange rate through the GARCH (1,1) techniques, the ECM was used to examine the various determinants of exchange rate volatility in Nigeria, while the co-integration analysis reveals the presence of a long term equilibrium

They concluded that exchange rate volatility is not without its cost to growth. growth determinants), REER negatively impacts on Ghana's growth prospects. However, before investigating these two determinants, the researcher should quantify the constraints deriving from a multi-currency framework. Explicit account for  To establish a link between exchange rate volatility and the monetary policy regime, it is useful to investigate the determinants of monetary policy decisions.