经济政策不确定性极端变化对汇率的非对称效应:来自新兴七国的证据

IF 2 0 ECONOMICS Annals of Financial Economics Pub Date : 2022-12-07 DOI:10.1142/s2010495222500312
Alina Maydybura, Raheel Gohar, Asma Salman, Wing-Keung Wong, B. Chang
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引用次数: 8

摘要

本研究的重点是考察经济政策的不确定性与汇率之间的联系。本研究通过分析经济政策不确定性对货币汇率从小到大的负变化以及从小到大的正变化的影响,将文献扩展到这一领域。为此,本研究采用了分位数检验中的格兰杰因果关系和新构建的多重不对称阈值非线性ARDL (MATNARDL)模型。当使用非线性ARDL模型时,我们的结果仅在三个国家证实了非线性影响。相反,当使用MATNARDL技术时,这些发现确实证实了所有国家的非线性效应。此外,当使用分位数检验中的格兰杰因果关系时,影响在不同的分位数上是不同的。总的来说,增强的框架鼓励我们更好地分析EPU如何影响新兴七国(E7)的汇率。本文的研究结果可为国有银行制定干预外汇市场的政策提供参考。
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The Asymmetric Effect of the Extreme Changes in the Economic Policy Uncertainty on the Exchange Rates: Evidence from Emerging Seven Countries
This research has focused on examining the connection between uncertainties in economic policies and exchange rates. This research extends the literature to this field by analyzing the impact of small to large negative along with small to large positive variations in the economic policy uncertainty on the currency rates. For this purpose, this research uses the Granger causality in the quantile test and a newly constructed multiple asymmetric threshold nonlinear ARDL (MATNARDL) model. When a nonlinear ARDL model is utilized, our results confirmed the nonlinear impact in three nations only. In contrast, when the MATNARDL technique is utilized, these findings do confirm the nonlinear effect for all nations. Furthermore, when the Granger causality in the quantile test is applied, the impact differs over various quantiles. In general, the enhanced framework encourages us to analyze better how EPU affects the exchange rate in the emerging seven (E7) nations. The findings of our research may be useful for state banks to design policies to make interventions in the foreign currency market.
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来源期刊
CiteScore
6.60
自引率
55.00%
发文量
30
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