Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective
In this paper, we employ the multifractal detrended cross-correlation analysis (MF-DCCA) as the measurement instrument for the dynamic cross-correlation inspection between US economic policy uncertainty (EPU) index and US dollar exchange rate return (Ret). By calculating the cross-correlation statis...
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Series: | Discrete Dynamics in Nature and Society |
Online Access: | http://dx.doi.org/10.1155/2021/6668912 |
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doaj-24269cdbc7ed42a8af2a5e8ca49872362021-02-15T12:52:59ZengHindawi LimitedDiscrete Dynamics in Nature and Society1026-02261607-887X2021-01-01202110.1155/2021/66689126668912Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA PerspectiveRuwei Zhao0Yian Cui1School of Business, Jiangnan University, Wuxi, Jiangsu 214122, ChinaResearch Institute, Shenzhen Stock Exchange, Shenzhen 518038, ChinaIn this paper, we employ the multifractal detrended cross-correlation analysis (MF-DCCA) as the measurement instrument for the dynamic cross-correlation inspection between US economic policy uncertainty (EPU) index and US dollar exchange rate return (Ret). By calculating the cross-correlation statistics, we find mild acceptance of cross-correlation between EPU and Ret qualitatively. With further application of MF-DCCA methodology, we find strong power law cross-correlation existence within all scaling orders. Also, apparent persistence of cross-correlation has been discovered with significant Hurst exponents of all orders. Besides, we find that long-term cross-correlation demonstrates more persistence and higher degree of multifractality than those in the short term. Finally, we utilize the rolling window and binominal measurement analysis as revisits of the model. The results are consistent with model statements.http://dx.doi.org/10.1155/2021/6668912 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Ruwei Zhao Yian Cui |
spellingShingle |
Ruwei Zhao Yian Cui Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective Discrete Dynamics in Nature and Society |
author_facet |
Ruwei Zhao Yian Cui |
author_sort |
Ruwei Zhao |
title |
Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective |
title_short |
Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective |
title_full |
Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective |
title_fullStr |
Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective |
title_full_unstemmed |
Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective |
title_sort |
dynamic cross-correlations analysis on economic policy uncertainty and us dollar exchange rate: amf-dcca perspective |
publisher |
Hindawi Limited |
series |
Discrete Dynamics in Nature and Society |
issn |
1026-0226 1607-887X |
publishDate |
2021-01-01 |
description |
In this paper, we employ the multifractal detrended cross-correlation analysis (MF-DCCA) as the measurement instrument for the dynamic cross-correlation inspection between US economic policy uncertainty (EPU) index and US dollar exchange rate return (Ret). By calculating the cross-correlation statistics, we find mild acceptance of cross-correlation between EPU and Ret qualitatively. With further application of MF-DCCA methodology, we find strong power law cross-correlation existence within all scaling orders. Also, apparent persistence of cross-correlation has been discovered with significant Hurst exponents of all orders. Besides, we find that long-term cross-correlation demonstrates more persistence and higher degree of multifractality than those in the short term. Finally, we utilize the rolling window and binominal measurement analysis as revisits of the model. The results are consistent with model statements. |
url |
http://dx.doi.org/10.1155/2021/6668912 |
work_keys_str_mv |
AT ruweizhao dynamiccrosscorrelationsanalysisoneconomicpolicyuncertaintyandusdollarexchangerateamfdccaperspective AT yiancui dynamiccrosscorrelationsanalysisoneconomicpolicyuncertaintyandusdollarexchangerateamfdccaperspective |
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1714866724092772352 |