All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Cynthia Royal Tori and Scott L. Tori
 
''Swedish krona-euro return volatility and non-traditional monetary policies''
( 2019, Vol. 39 No.3 )
 
 
Using the EGARCH and MGARCH approaches, this study explores the effects non-traditional monetary policies and regional currency exchange returns have on Swedish krona-euro exchange rate return volatility. Using data from 4 January 1999 through 30 September 2018, the study finds the mean equations exhibit market efficiencies while the variance equations exhibit significant GARCH effects, small asymmetric effects, and volatility clustering. The study concludes that the non-traditional monetary policies adopted by the Sveriges Riksbank successfully reduced Swedish krona-euro return volatility. The quantitative easing monetary policy reduced the influence and persistence the term structure interest rate differential had on Swedish krona-euro return volatility. The study also finds the negative nominal interest rate monetary policy reduced the influence and persistence the short-term interest rate differential had on Swedish krona-euro return volatility. The Swedish krona-Danish krone returns, and Swedish krona-Norwegian krone returns exhibited large conditional correlations or spillover effects that increased Swedish krona-euro return volatility.
 
 
Keywords: EGARCH, MGARCH, exchange rate return volatility, non-traditional monetary policy, quantitative easing, negative nominal interest rates
JEL: F3 - International Finance: General
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
 
Manuscript Received : Feb 22 2019 Manuscript Accepted : Sep 30 2019

  This abstract has been downloaded 8 times                The Full PDF of this paper has been downloaded 16 times