Footnote:
In: Kashmir Economic Review Vol. 19, No. 1 & 2, January – December, 2010
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 30, 2010 erstellt
Description:
The study examines the volatility of exchange rate effects on interest rates and inflation. For this purpose the study used monthly data over the period January 1990 to December 2010. To explore the volatility of exchange rate study used the ARCH (Auto Regressive Conditional Heterosidasticity) and GARCH (Generalized Auto regressive conditional Heterosidasticity). The result shows that positive association between exchange rate risk and interest rate in the form risk premia in the interest rate. The result of the study fulfills the interest parity condition and purchasing power parity