Economics at your fingertips  

Uncertainty and currency performance: A quantile-on-quantile approach

Liyan 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)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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:

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
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-08-10
Handle: RePEc:eee:ecofin:v:48:y:2019:i:c:p:702-729