 Uncertainty and currency performance: A quantile-on-quantile approachLiyan Han, Yang Liu and Libo Yin () The North American Journal of Economics and Finance, 2019, vol. 48, issue C, 702-729 Abstract: We utilize a quantile-on-quantile (QQ) approach to uncover the complex and unstable relationships between uncertainty and the currency performance of developed and developing countries. Strong empirical evidence demonstrates that the state-dependent spillover effect of US uncertainty exerts shocks on exchange rates. We shed new light on the asymmetric characteristic of “flight to quality.” When US uncertainty is at a high level, safe-haven currencies are favored, while the weak currencies depreciate. However, with a low quantile of uncertainty, the developed currencies remain relatively stable, while emerging currencies are confronted by greater depreciation. Moreover, unexpected uncertainty spillover from the US to different currency markets plays an important role under low uncertainty, heightening the variations in exchange rates and causing the currency values to deviate. Keywords: Financial uncertainty; Macro uncertainty; Foreign exchange rates; Nonlinear relationship; Quantile-on-quantile method; Asymmetric impact (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:48:y:2019:i:c:p:702-729 DOI: 10.1016/j.najef.2018.08.006 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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