The Impacts of Capital Controls and Fed Meeting Dates on Exchange Rate Volatility

• Main Authors: Su, Li-Chi, 蘇俐綺
• Other Authors: Tsai, Li-Ju
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/61414223888747234988

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 102 === The influence of monetary policies on exchange rate is an issue frequently discussed. However, it still doesn’t have unanimous conclusion on this issue in academic research and practices. So, we investigate this question and furthermore explore whether the meeting dates of Fed influence exchange rate volatility or not. We also discuss the effects of capital control on exchange rate volatility. Applying GARCH model, we investigate whether the volatility of exchange increases by the uncertainties caused on the meeting dates of Fed or decreases by capital control. Also, in order to consider asymmetric effects of appreciation and depreciation on exchange rate volatility, we use EGARCH model to inspect whether exchange rate volatility is influenced differently by the appreciation and depreciation of previous period. Empirical results show that the dates of Fed meeting have a significant influence on exchange rate volatility of most countries. Capital control in Central and South America would decrease exchange rate volatility, and South Korea and Romania have the same results. Also, capital controls and the changes of exchange rate are positively correlated. That is, if Argentina and South Korea use capital control to avoid depreciation, it would not be successful. The depreciation of previous period will increase exchange rate volatility for next day in all of our sample countries except Israel.