Economic policy uncertainty and exchange rates in emerging markets: Short and long runs evidence

Abir Abid ()
Additional contact information
Abir Abid: COGI - Comportements, Organisations et Gouvernance des Institutions - UCO - Université Catholique de l'Ouest

Post-Print from HAL

Abstract: We revisit the association between fundamentals and exchange rates in emerging markets relying on the role of the Economic Policy Uncertainty (EPU) in explaining /forecasting currency movements. Using ARDL model, we show that EPU plays a key role in explaining exchange rates in short and long runs. We also find that the EPU improves the forecasting power of macroeconomic models of exchange rate in both horizons. Our findings provide an empirical justification of the scapegoat theory.

Keywords: Economic; Uncertainty; Exchange; Rates; Emerging; Economies; cointegration (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

Published in Finance Research Letters, 2020

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-05293264

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().