Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/170731
Authors: 
Eichler, Stefan
Littke, Helge C. N.
Year of Publication: 
2017
Series/Report no.: 
IWH Discussion Papers 22/2017
Abstract: 
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.
Subjects: 
central bank transparency
exchange rate volatility
panel model
JEL: 
E58
F31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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