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

Author

Listed:
  • Florin MAVRIS

    (Bucharest University of Economic Studies, Romania)

  • Dumitru-Cristian OANEA

    (Bucharest University of Economic Studies, Romania)

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.

Suggested Citation

  • Florin MAVRIS & Dumitru-Cristian OANEA, 2014. "The influence of interest rates on the exchange rate and exchange rate volatility," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(Special), pages 246-257, June.
    • Handle: RePEc:agr:journl:v:xxi:y:2014:i:special:p:246-257
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