Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/163198
Authors: 
Hameed, Allaudeen S.
Rose, Andrew
Year of Publication: 
2017
Series/Report no.: 
ADBI Working Paper Series 699
Abstract: 
This paper examines exchange rate behavior during the recent period with negative nominal interest rates. We use a daily panel of data on 61 currencies from January 2010 through May 2016, during which five economies - Denmark, the European Economic and Monetary Union, Japan, Sweden, and Switzerland - experienced negative nominal interest rates. We examine both effective exchange rates and bilateral rates; the latter typically measured against the Swiss franc since Switzerland has had the longest period of negative nominal rates. We examine exchange rate volatility, exchange rate changes, deviations from uncovered interest parity, and profits from the carry trade. We find that negative interest rates seem to have little effect on observable exchange rate behavior.
Subjects: 
Finance sector development
China, People's Republic of
India
Indonesia
Japan
Korea, Republic of
Pakistan
Taipei,China
JEL: 
F31
G15
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/3.0/igo/
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.