publication . Other literature type . Research . Article . 2018

Exchange rate behaviour with negative interest rates: Some early negative observations

Allaudeen Hameed; Andrew K. Rose;
  • Published: 29 Jan 2018
  • Publisher: Wiley
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...
Subjects
free text keywords: F31, G15, Finance sector development, China, People's Republic of, India, Indonesia, Japan, Korea, Republic of, Pakistan, Taipei,China, ddc:330, Economics and Econometrics, Nominal interest rate, Economics, Interest rate, media_common.quotation_subject, media_common, Stock exchange, Microeconomics, Monetary economics, International Fisher effect, Financial economics, Exchange rate, Volatility (finance), Parity (mathematics), Interest rate parity
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publication . Other literature type . Research . Article . 2018

Exchange rate behaviour with negative interest rates: Some early negative observations

Allaudeen Hameed; Andrew K. Rose;