Exchange rate behaviour with negative interest rates: Some early negative observations
Exchange rate behaviour with negative interest rates: Some early negative observations
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DOI:
10.1111/1468-0106.12250
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发表时间:
2018-02-01
影响因子:
1.5
通讯作者:
Rose, Andrew K.
中科院分区:
文献类型:
--
作者:
Hameed, Allaudeen;Rose, Andrew K.
This paper examines exchange rate behaviour during the recent period with negative nominal interest rates. We use a daily panel of data of 61 currencies from January 2010 to May 2016; during this time five economies (Denmark, EMU, 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 because 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 behaviour.