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Impact of US monetary policy uncertainty on Asian exchange rates

Donghyun Park (), Irfan Qureshi (), Shu Tian () and Mai Lin Villaruel ()
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Irfan Qureshi: Asian Development Bank
Shu Tian: Asian Development Bank
Mai Lin Villaruel: Asian Development Bank

Economic Change and Restructuring, 2022, vol. 55, issue 1, No 2, 73-82

Abstract: Abstract We examine the impact of US monetary policy uncertainty (MPU) on the dollar exchange rates of ten Asian economies between February 2006 and January 2019. Our results, which are based on an EGARCH model, indicate that MPU tends to increase the variance of exchange rates rather than affecting the level of exchange rates. The results may have significant implications for the ten economies’ conduct of monetary policy.

Keywords: Monetary policy uncertainty; Exchange rate; Asia; Volatility; EGARCH (search for similar items in EconPapers)
JEL-codes: E50 F30 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10644-020-09307-3

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