Impact of economic policy uncertainty on exchange rate volatility of China

Liming Chen, Ziqing Du and Zhihao Hu

Finance Research Letters, 2020, vol. 32, issue C

Abstract: This study investigates the impact of economic policy uncertainty (EPU) on China's exchange rate volatility from December 2001 to November 2018. Using the quantile regression, our results show that the impact of EPU on exchange rate volatility in China exhibits asymmetry as well as heterogeneity in different markets. The EPU for China impacts positively and significantly on all quantiles volatilities of exchange rates. Furthermore, we observe that EPU has a mixed effect on exchange rate volatility with apparent economy-by-economy differences. The US, Europe and Japan EPU have significant impacts, while Hong Kong EPU is insignificantly correlated with exchange rate volatility.

Keywords: Quantile regression; Exchange rate volatility; Economic policy uncertainty; Asymmetry; Heterogeneity (search for similar items in EconPapers)
JEL-codes: C32 C51 F31 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (49)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319306038

DOI: 10.1016/j.frl.2019.08.014

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