CAN ECONOMIC POLICY UNCERTAINTY PREDICT EXCHANGE RATE AND ITS VOLATILITY? EVIDENCE FROM ASEAN COUNTRIES
This paper studies whether the global economic policy uncertainty (EPU) predicts the exchange rate and its volatility in 10 ASEAN countries using monthly data from January 1997 to December 2017. Applying the recently developed predictive regression model of Westerlund and Narayan (2012, 2015), we di...
| Main Authors: | , |
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| Format: | Article |
| Language: | Indonesian |
| Published: |
Bank Indonesia
2018-10-01
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| Series: | Bulletin Ekonomi Moneter dan Perbankan |
| Subjects: | |
| Online Access: | https://www.bmeb-bi.org/index.php/BEMP/article/view/974 |