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Central bank transparency and the volatility of exchange rates / Stefan Eichler, Helge C.N. Littke
VerfasserEichler, Stefan ; Littke, Helge C. N.
ErschienenHalle (Saale), Germany : Halle Institute for Economic Research (IWH), 02. November 2017
Umfang1 Online-Ressource (III, 66 Seiten, 2,04 MB) : Diagramme
SpracheEnglisch
SerieIWH-Diskussionspapiere ; 2017, no. 22 (November 2017)
URNurn:nbn:de:gbv:3:2-80759 
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Central bank transparency and the volatility of exchange rates [2.04 mb]
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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.