Policy Uncertainty and Foreign Exchange Rates: The DCC-Garch Model of the Us / Japanese Foreign Exchange Rate

Kurasawa, Kazutaka

doi:10.20472/es.2016.5.4.001

Cited by 5 publications

(7 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Several papers use newsbased economic policy uncertainty measures and find evidence of uncertainty effects. 11 Kurasawa (2016) finds that during several periods the EPU index from Baker et al (2016) for the US and for Japan have been correlated with the level of US dollar Japanese yen exchange rate. Balcilar et al (2016a) uses a nonparametric causality-inquantiles test on 16 currency pairs and find that the differential between the US and domestic EPU measures has explanatory power for the variance of the Mexican peso US dollar exchange rate returns, but not the level.…”

Section: Introductionmentioning

confidence: 99%

“…First, we analyze the impact of different dimensions of uncertainty. We consider measures of political and economic uncertainty, as well as of financial instability and trade policy uncertainty, rather than just focusing on economic or economic policy uncertainty as in Balcilar et al (2016a), Krol (2014), Sin (2015) and Kurasawa (2016). In addition, we include both domestic and international uncertainty.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Uncertainty and Exchange Rate Volatility: The Case of Mexico

Bush

Noria

2019

SSRN Journal

View full text Add to dashboard Cite

This paper investigates the effect of uncertainty on the volatility of the Mexican peso U.S. dollar exchange rate for the period 1999 -2018. The empirical analysis consists on estimating a model by OLS and System GMM that includes measures of economic, political, and financial uncertainty, both domestic and international, as explicative variables. The main results show that greater uncertainty leads to higher exchange rate volatility; measures of international uncertainty are found to dominate domestic uncertainty measures, although the domestic uncertainty has also an important effect on the exchange rate volatility; and there is evidence of an amplifying effect of domestic economic uncertainty on exchange rate volatility, especially during periods of recession. These results are shown to be robust to different exchange rate volatility measures, different specifications, and different economic policy uncertainty indices.

show abstract

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Uncertainty and Exchange Rate Volatility: The Case of Mexico

Bush

Noria

2019

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…Few studies have also investigated the influence of uncertainty measures on the exchange rate. Roubaud and Aarouri (2018) show asymmetric and time-varying relationships among oil price, exchange rate and stock returns taking into consideration the influence of EPU, while Kurasawa's (2016) dynamic conditional correlation between the economic policy index and Yen/US$ rate is time-variant. Liming et al (2020) show heterogeneous behavior, asymmetry, positive and significant relationship between policy uncertainty and exchange rate in China.…”

Section: Oil Price News-based Uncertainty Measuresmentioning

confidence: 99%

“…The CWT generally shows structural changes and evolution of variances with strong volatility at the 2-8-and 8-32-month frequency bands within the sample periods. The Brazilian Real-US$ exchange rates showed several islands of high structural changes 1986, 1991-1993, 2001, 2003, 2008, 2014-2016, 2019 1991-1992, 1998-1999, 2000, 2001-2002, 2012, 2016-2017, 20192-8 Medium term 1991-1992, 2002-2005 -19 epidemic (2020 and 2021). These date-stamped times coincide with the "Brazilian Real" currency crisis in 1998-1999 given the current account deficit, the Real devaluation and depreciation against the US$ and the financial crisis of 1999.…”

Section: Continuous Wavelet Transformmentioning

confidence: 99%

“…Indeed, the "Samba effect" was also occasioned by the mid-1990s AFC as Brazil embarks on adjustment measures of increasing interest rates and taxes and spending cuts. Given these contractionary policy measures, the "Real" was floated against 1998-1999, 2001-2003, 2008, 2009 2016-2017, 2020 1994-1995, 1998-1999, 2014-20162-8 Medium term 1995-1999, 2014 1991-1993, 1996, 2008-2010, 2011, 20142-8 Medium term 1991-1993, 2007 1986, 1990-1991, 1993-19942-8 Medium term 1989-19911993-1996 Long term 1991-1996 32-above South Africa Rand Short term 1986Short term , 2000Short term , 2002Short term , 2004Short term -2007Short term , 2008Short term -2009Short term , 2016Short term , 2019Short term -2020 the US$ and resulted in its devaluation. The structural changes in the "Real" also reflect the 2014 Brazilian recession and its sluggish recovery, while the shocks from the global epidemic are also evident.…”

Section: Continuous Wavelet Transformmentioning

confidence: 99%

See 1 more Smart Citation

Oil prices, news-based uncertainty measures and exchange rate returns in BRICS countries

Adeosun

Tabash

2022

IJESM

View full text Add to dashboard Cite

Purpose This paper aims to accommodate the influence of both economic policy uncertainty and geopolitical risks in the relationship between oil price and exchange-rate returns in the Brazil, Russia, India, China and South Africa (BRICS) countries through an interaction term (EPGR). Design/methodology/approach The authors use continuous wavelet transform (CWT), wavelet coherence (WC) and partial wavelet coherence (PWC). First, the authors apply the CWT to examine the evolution of oil prices, EPGR and exchange rate returns. Second, the authors use WC to investigate the relationship between oil price and exchange rate returns (excluding EPGR). Third, the authors use PWC to account for EPGR’s impact on the oil exchange rate returns dynamics and explore partial correlations in the oil and exchange rate returns dynamics. Findings The empirical results generally show that EPGR is a key driver in the oil and exchange rate returns nexus. Practical implications The relevance of EPGR in influencing exchange rate volatility is confirmed by the findings. As a result, it is critical for government officials and foreign exchange investors to use EPGR as a leading indicator when establishing foreign exchange trading strategies and economic forecasts. Originality/value This study is the first, to the best of the authors’ knowledge, to apply a wavelet-based technique to account for EPGR in the relationship between oil and exchange rate returns in the BRICS countries.

show abstract

Impacto de la incertidumbre de la política económica en la actividad económica y mercado bursátil y cambiario mexicanos: un modelo DCC

2022

View full text Add to dashboard Cite

Se analiza el impacto de la Incertidumbre de la Política Económica (EPU) local y estadounidense en la actividad económica y financiera en México, empleando datos mensuales sobre el periodo enero 1996 a septiembre 2019. Para lograr dicho objetivo, se propone un análisis de Correlación Condicional Dinámica. Los reultados evidencian que la Incertidumbre local tiene un impacto significativo en las variables financieras (mercado accionario y de divisas), pero no en los indicadores económicos (actividad económica y producción industrial). Por el contrario, la incertidumbre estadounidense no tiene efectos significativos en las variables reales, ni financieras

show abstract

Policy Uncertainty and Foreign Exchange Rates: The DCC-Garch Model of the Us / Japanese Foreign Exchange Rate

Abstract: Abstract:Since

Cited by 5 publications

References 16 publications

Uncertainty and Exchange Rate Volatility: The Case of Mexico

Uncertainty and Exchange Rate Volatility: The Case of Mexico

Oil prices, news-based uncertainty measures and exchange rate returns in BRICS countries

Impacto de la incertidumbre de la política económica en la actividad económica y mercado bursátil y cambiario mexicanos: un modelo DCC

Contact Info

Product

Resources

About