Exchange rate response to economic policy uncertainty: evidence beyond asymmetry
Küçük Resim Yok
Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springernature
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Recent studies have examined the relationship between economic policy uncertainty and exchange rate. We contribute to this literature by considering the effect of minor positive and major positive changes as well as minor negative and major negative changes in the economic policy uncertainties on the exchange rates. In this regard, we use a recently developed multiple asymmetric threshold nonlinear ARDL model along with Granger causality in quantile test. Our estimates support the asymmetric effect in three countries only when an asymmetric ARDL model is used. However, these estimates support asymmetric effects for all the sample countries when the multiple asymmetric threshold nonlinear ARDL model is used. Moreover, the effect varies across various quantiles when Granger causality in quantile test is used. Overall, the extended model helps us to examine more minutely the impact of EPU and GEPU on the exchange rate in G7 countries. The results of this study can be useful for the central banks to devise appropriate policies to intervene in the foreign exchange market.
Açıklama
Anahtar Kelimeler
Macroeconomic Variables, United-States, Stock-Prices, Gold Futures, Oil, Impact
Kaynak
Humanities & Social Sciences Communications
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
9
Sayı
1
