The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions

Christina Christou, Rangan Gupta, Christis Hassapis and Tahir Suleman ()

Journal of Forecasting, 2018, vol. 37, issue 7, 705-719

Abstract: In this paper, we investigate whether the news‐based measure of economic policy uncertainty (EPU) can be used to forecast exchange rate returns and volatility using a quantile regression approach, which accounts for persistence and endogeneity, using data from 13 different countries. Our main findings suggest that: (i) EPU is useful for forecasting exchange rate returns and volatility, (ii) forecasting ability–quantile order relationships exhibit a U‐shape, possibly asymmetric form around the median; and (iii) asymmetries are more pronounced in the case of forecasting volatility.

Date: 2018
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Citations: View citations in EconPapers (33)

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https://doi.org/10.1002/for.2539

Related works:
Working Paper: The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:37:y:2018:i:7:p:705-719

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