 The Japanese Yen under Uncertainty: Evidence from Climate Policy UncertaintyAbir Abid ()
Working Papers from HAL Abstract: This paper revisits the extent to which uncertainty imparts an effect on exchange rate dynamics. We particularly examine the safe-haven status of the Japanese Yen regarding its effectiveness in hedging Economic Policy, Market and Climate Policy Uncertainty. Using monthly YEN/EUR, YEN/USD and YEN/GBP returns, we estimate both linear and threshold nonlinear specifications. The evidence from the linear framework (i) confirms the Yen's pattern as a safe-haven currency in times of increased Economic Policy Uncertainty and global financial stress, and (ii) provides novel evidence that higher Climate Policy Uncertainty hinders the Japanese exchange rate returns. We further show that our findings are mainly driven by positive climate uncertainty fluctuation. Finally, the nonlinear analysis indicates that the negative climate effect is observed in the high climate uncertainty regime. Our evidence adds to our understanding of safe-haven currencies behavior and offers useful information for market participants in terms of investment decisions in uncertain global economic and climate environment. Keywords: Climate Policy Uncertainty; Economic Policy Uncertainty; Exchange Returns; Safe-Haven Currencies. (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-05787068 Access Statistics for this paper More papers in Working Papers from HAL |
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