Open AccessDoes 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.