THE ECONOMIC POLICY UNCERTAINTY EXTREME DYNAMICS AND ITS EFFECT ON THE EXCHANGE RATE

IF 1 Q3 ECONOMICS

Global Economy Journal Pub Date : 2023-04-25 DOI:10.1142/s2194565923500069

Raheel Gohar, M. Osman, E. Uche, P. A. MARY AUXILIA, B. Chang

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引用次数: 4

Abstract

The effect of economic policy uncertainty (EPU) on other macroeconomic and financial variables has been the subject of prior research investigations. However, a dearth of work explicitly examines the connection between EPU exchange rate changes. By utilizing both nonlinear ARDL (NARDL) and multiple threshold NARDL (MTNARDL) models, we add to the body of literature by analyzing the nonlinear impact of EPU on exchange rates. The MTNARDL model, which distinguishes between the impacts of very small changes in the EPU from very large changes in the EPU on the exchange rate, is an expanded version of the NARDL model. The MTNARDL results confirm an asymmetric effect of EPU on exchange rates in the long run for all sample countries, contrary to the NARDL estimates, which show that EPU has an asymmetric effect in Brazil, Turkey, and China only. Similarly, only one country is supported by NARDL estimates for the short-run asymmetric effect, but MTNARDL estimates support the effect in five countries. Therefore, in our study, the MTNARDL model aids the prior literature in examining the more comprehensive impact of EPU on the exchange rates.

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经济政策不确定性的极端动态及其对汇率的影响

经济政策不确定性(EPU)对其他宏观经济和金融变量的影响一直是前人研究的主题。然而，缺乏明确研究EPU汇率变化之间联系的工作。本文利用非线性ARDL (NARDL)和多阈值NARDL (MTNARDL)模型，分析了EPU对汇率的非线性影响。MTNARDL模型是NARDL模型的扩展版本，它区分了EPU非常小的变化和EPU非常大的变化对汇率的影响。MTNARDL的结果证实，从长期来看，EPU对所有样本国家的汇率都存在不对称影响，这与NARDL的估计相反，后者表明EPU仅在巴西、土耳其和中国具有不对称影响。同样，只有一个国家得到了NARDL对短期不对称效应的估计的支持，但MTNARDL的估计支持了五个国家的影响。因此，在我们的研究中，MTNARDL模型有助于先前文献研究EPU对汇率的更全面的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Global Economy Journal ECONOMICS-

CiteScore

1.60

自引率

14.30%

发文量

期刊介绍： The GEJ seeks to publish original and innovative research, as well as novel analysis, relating to the global economy. While its main emphasis is economic, the GEJ is a multi-disciplinary journal. The GEJ''s contents mirror the diverse interests and approaches of scholars involved with the international dimensions of business, economics, finance, history, law, marketing, management, political science, and related areas. The GEJ also welcomes scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations. One over-arching theme that unites IT&FA members and gives focus to this journal is the complex globalization process, involving flows of goods and services, money, people, and information.