Exchange rate response to economic policy uncertainty: evidence beyond asymmetry

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dc.authoridHacıevliyagil, Nuri/0000-0002-2019-3327
dc.authoridDerindag, Omer Faruk/0000-0002-6693-0628
dc.authoridChang, Bisharat Hussain/0000-0002-6519-6759
dc.authorwosidHacıevliyagil, Nuri/ABS-2815-2022
dc.authorwosidDerindag, Omer Faruk/ABI-2557-2020
dc.contributor.authorChang, Bisharat Hussain
dc.contributor.authorDerindag, Omer Faruk
dc.contributor.authorHacievliyagil, Nuri
dc.contributor.authorCanakci, Mehmet
dc.date.accessioned2024-08-04T20:53:03Z
dc.date.available2024-08-04T20:53:03Z
dc.date.issued2022
dc.departmentİnönü Üniversitesien_US
dc.description.abstractRecent 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.en_US
dc.identifier.doi10.1057/s41599-022-01372-5
dc.identifier.issn2662-9992
dc.identifier.issue1en_US
dc.identifier.pmid36249902en_US
dc.identifier.scopus2-s2.0-85139688180en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1057/s41599-022-01372-5
dc.identifier.urihttps://hdl.handle.net/11616/100937
dc.identifier.volume9en_US
dc.identifier.wosWOS:000866198400001en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakPubMeden_US
dc.language.isoenen_US
dc.publisherSpringernatureen_US
dc.relation.ispartofHumanities & Social Sciences Communicationsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectMacroeconomic Variablesen_US
dc.subjectUnited-Statesen_US
dc.subjectStock-Pricesen_US
dc.subjectGold Futuresen_US
dc.subjectOilen_US
dc.subjectImpacten_US
dc.titleExchange rate response to economic policy uncertainty: evidence beyond asymmetryen_US
dc.typeArticleen_US

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