Panel VAR analysis reveals the links between exchange rate volatility, interest rates, and equity markets, suggesting implications for macroeconomic stability.
Key Points
Exchange rate volatility is influenced by interest rates and equity market movements, impacting economic stability.
The study utilized a Panel Vector Autoregression model to analyze short and long-term relationships among variables.
Unit root tests and impulse response functions were applied to explore the persistence and magnitude of economic shocks.
Appropriate monetary and fiscal measures can help mitigate exchange rate risks and strengthen financial resiliency.