Does Economic Policy Uncertainty Affect Exchange Rate in China and Japan? Evidence from Threshold Cointegration with Asymmetric Adjustment | Zendy

Riadh El Abed | Zendy; Zouheir Mighri | Zendy; Abderrazek Ben Hamouda | Zendy

Open Access

Does Economic Policy Uncertainty Affect Exchange Rate in China and Japan? Evidence from Threshold Cointegration with Asymmetric Adjustment

Author(s) -

Riadh El Abed,

Zouheir Mighri,

Abderrazek Ben Hamouda

Publication year - 2022

Publication title -

international journal of economics and financial issues

Language(s) - English

Resource type - Journals

ISSN - 2146-4138

DOI - 10.32479/ijefi.11973

Subject(s) - cointegration , tar (computing) , economics , china , exchange rate , econometrics , threshold model , macroeconomics , geography , archaeology , computer science , programming language

In this article, we estimate the links between nominal exchange rates (JPY/USD and CNY/USD) and economic policy uncertainty (EPU) in China and Japan by employing monthly data during the period span from January 1997 to September 2020. The threshold cointegration approach focus in TAR, M-TAR, C-TAR and C-MTAR is used. Results indicate the evidence of asymmetric effect in the adjustment process to equilibrium and the M-TAR is the best model to detect threshold effect for the (CNY/USD-CNYEPU) pair and the C-TAR is the best model to detect threshold effect for the (JPY/USD-JPYEPU) pair.

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research