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Negative policy interest rates and exchange rate behavior: Further results

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  • Thornton, John
  • Vasilakis, Chrysovalantis

Abstract

Since 2012, seven central banks have sought additional monetary policy accommodation through the adoption of negative policy interest rates (NPIR). The policy resulted in a significant reduction in exchange rate volatility and weaker exchange rates in NPIR--adopter countries relative countries that did not adopt the policy.

Suggested Citation

  • Thornton, John & Vasilakis, Chrysovalantis, 2019. "Negative policy interest rates and exchange rate behavior: Further results," Finance Research Letters, Elsevier, vol. 29(C), pages 61-67.
    • Handle: RePEc:eee:finlet:v:29:y:2019:i:c:p:61-67
    DOI: 10.1016/j.frl.2019.03.023
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    Cited by:

    1. Ma, Wanglin & Qiu, Huanguang & Fan, Yubing & Zhou, Xiaoshi, 2020. "The joint effects of ICT adoption and access to credit on household income in China," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304431, Agricultural and Applied Economics Association.
    2. Boungou, Whelsy, 2020. "Negative interest rates policy and banks’ risk-taking: Empirical evidence," Economics Letters, Elsevier, vol. 186(C).
    3. Czudaj, Robert L., 2020. "Is the negative interest rate policy effective?," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 75-86.
    4. Whelsy Boungou & Charles Mawusi, 2023. "Bank lending margins in a negative interest rate environment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 886-901, January.
    5. Martha Flores‐Sosa & Ezequiel Avilés‐Ochoa & José M. Merigó, 2022. "Exchange rate and volatility: A bibliometric review," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1419-1442, January.
    6. Long, Shaobo & Zhang, Rui & Hao, Jing, 2022. "Asymmetric impact of Sino-US interest rate differentials and economic policy uncertainty ratio on RMB exchange rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    7. Cynthia Balloch & Yann Koby & Mauricio Ulate, 2022. "Making Sense of Negative Nominal Interest Rates," Working Paper Series 2022-12, Federal Reserve Bank of San Francisco.
    8. Boungou, Whelsy & Osei-Tutu, Francis & Taylor, Daniel, 2024. "Negative interest rate policy and banks' earnings management," Economics Letters, Elsevier, vol. 237(C).
    9. Donghyun Park & Irfan Qureshi & Shu Tian & Mai Lin Villaruel, 2022. "Impact of US monetary policy uncertainty on Asian exchange rates," Economic Change and Restructuring, Springer, vol. 55(1), pages 73-82, February.
    10. Boungou, Whelsy, 2022. "“Negative-for-long” interest rates and customer deposit rate," Finance Research Letters, Elsevier, vol. 46(PA).

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    More about this item

    Keywords

    Negative policy interest rates; Exchange rate behavior; Difference in difference estimation;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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