Does Economic Policy Uncertainty Affect Exchange Rate in China and Japan? Evidence from Threshold Cointegration with Asymmetric Adjustment

Riadh El Abed, Zouheir Mighri and Abderrazek Ben Hamouda
Additional contact information
Riadh El Abed: University of Tunis El Manar, Facult des Sciences Economiques et de Gestion de Tunis, Laboratoire d Ing nierie Financi re et Economique, 65 Rue Ibn Sina, Moknine 5050, Tunisia,

International Journal of Economics and Financial Issues, 2022, vol. 12, issue 1, 28-36

Abstract: In this article, we estimate the links between nominal exchange rates (JPY/USD and CNY/USD) and economic policy uncertainty (EPU) in China and Japan by employing monthly data during the period span from January 1997 to September 2020. The threshold cointegration approach focus in TAR, M-TAR, C-TAR and C-MTAR is used. Results indicate the evidence of asymmetric effect in the adjustment process to equilibrium and the M-TAR is the best model to detect threshold effect for the (CNY/USD-CNYEPU) pair and the C-TAR is the best model to detect threshold effect for the (JPY/USD-JPYEPU) pair.

Keywords: Foreign Exchange Rate; Economic Policy Uncertainty; Nonlinear Cointegration; Asymmetric ECM (search for similar items in EconPapers)
JEL-codes: F22 Q56 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.econjournals.com/index.php/ijefi/article/download/11973/6616/29573 (application/pdf)
http://www.econjournals.com/index.php/ijefi/article/view/11973/6616 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2022-01-05

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().