The Asymmetric Effect of the Extreme Changes in the Economic Policy Uncertainty on the Exchange Rates: Evidence from Emerging Seven Countries

被引:23
作者
Maydybura, Alina [1 ]
Gohar, Raheel [2 ]
Salman, Asma [3 ]
Wong, Wing-Keung [4 ,5 ,6 ,7 ]
Chang, Bisharat Hussain [8 ]
机构
[1] RIT Dubai, Dept Business & Management, Dubai, U Arab Emirates
[2] Al Yamamah Univ, Coll Business Adm, Riyadh, Saudi Arabia
[3] Amer Univ Emirates, Coll Business Adm, Dubai, U Arab Emirates
[4] Asia Univ, Fintech & Blockchain Res Ctr, Dept Finance, Taichung, Taiwan
[5] Asia Univ, Big Data Res Ctr, Taichung, Taiwan
[6] China Med Univ, China Med Univ Hosp, Dept Med Res, Taichung, Taiwan
[7] Hang Seng Univ Hong Kong, Dept Econ & Finance, Shatin, Hong Kong, Peoples R China
[8] Sukkur IBA Univ, Dept Business Adm, Sukkur, Sindh, Pakistan
关键词
E7; nations; MATNARDL model; NARDL model; exchange rate; economic policy uncertainty; MACROECONOMIC VARIABLES; UNITED-STATES; STOCK-PRICES; GOLD FUTURES; OIL; DRUG; TRANSITION; IMPACT;
D O I
10.1142/S2010495222500312
中图分类号
F [经济];
学科分类号
02 ;
摘要
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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页数:24
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