Sustainable exchange rates in China: Is there the heterogeneous effect of economic policy uncertainty?
This study is to investigate the heterogeneous effect of economic policy uncertainty (EPU) on the exchange rate volatility of China using quantile regression for the period Jan 2003–Jan 2019. This paper significantly contributes to the empirical literature by taking into account the effect in indivi...
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doaj-72496fcb9dd04cb68e0bf0e078c3839c2020-11-25T02:54:51ZengAIMS PressGreen Finance2643-10922019-08-011434636310.3934/GF.2019.4.346Sustainable exchange rates in China: Is there the heterogeneous effect of economic policy uncertainty?Liming Chen0Ziqing Du1Yong Tan21 College of Finance and Statistics, Hunan University, Changsha, 410006, P.R. China2 Department of Accountancy, Finance and Economics, Huddersfield Business School, University of Huddersfield, Queensgate, HD1 3DH, U.K.2 Department of Accountancy, Finance and Economics, Huddersfield Business School, University of Huddersfield, Queensgate, HD1 3DH, U.K.This study is to investigate the heterogeneous effect of economic policy uncertainty (EPU) on the exchange rate volatility of China using quantile regression for the period Jan 2003–Jan 2019. This paper significantly contributes to the empirical literature by taking into account the effect in individual and distributional heterogeneity and exploring the transmission mechanism of heterogeneity. The results demonstrate that, first, EPU from different countries have a heterogeneous impact on China’s exchange rate volatility both direction as well as distribution. Second, this paper further assesses the EPU transmission mechanism of bilateral trading and interest rate difference is mixed. These results provide policymakers with critical policy recommendations that contribute to the reduction of the exchange rate volatility and ensure stable economic development in China.https://www.aimspress.com/article/10.3934/GF.2019.4.346/fulltext.htmlexchange rate volatilityeconomic policy uncertaintyheterogeneityquantile regression |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Liming Chen Ziqing Du Yong Tan |
spellingShingle |
Liming Chen Ziqing Du Yong Tan Sustainable exchange rates in China: Is there the heterogeneous effect of economic policy uncertainty? Green Finance exchange rate volatility economic policy uncertainty heterogeneity quantile regression |
author_facet |
Liming Chen Ziqing Du Yong Tan |
author_sort |
Liming Chen |
title |
Sustainable exchange rates in China: Is there the heterogeneous effect of economic policy uncertainty? |
title_short |
Sustainable exchange rates in China: Is there the heterogeneous effect of economic policy uncertainty? |
title_full |
Sustainable exchange rates in China: Is there the heterogeneous effect of economic policy uncertainty? |
title_fullStr |
Sustainable exchange rates in China: Is there the heterogeneous effect of economic policy uncertainty? |
title_full_unstemmed |
Sustainable exchange rates in China: Is there the heterogeneous effect of economic policy uncertainty? |
title_sort |
sustainable exchange rates in china: is there the heterogeneous effect of economic policy uncertainty? |
publisher |
AIMS Press |
series |
Green Finance |
issn |
2643-1092 |
publishDate |
2019-08-01 |
description |
This study is to investigate the heterogeneous effect of economic policy uncertainty (EPU) on the exchange rate volatility of China using quantile regression for the period Jan 2003–Jan 2019. This paper significantly contributes to the empirical literature by taking into account the effect in individual and distributional heterogeneity and exploring the transmission mechanism of heterogeneity. The results demonstrate that, first, EPU from different countries have a heterogeneous impact on China’s exchange rate volatility both direction as well as distribution. Second, this paper further assesses the EPU transmission mechanism of bilateral trading and interest rate difference is mixed. These results provide policymakers with critical policy recommendations that contribute to the reduction of the exchange rate volatility and ensure stable economic development in China. |
topic |
exchange rate volatility economic policy uncertainty heterogeneity quantile regression |
url |
https://www.aimspress.com/article/10.3934/GF.2019.4.346/fulltext.html |
work_keys_str_mv |
AT limingchen sustainableexchangeratesinchinaistheretheheterogeneouseffectofeconomicpolicyuncertainty AT ziqingdu sustainableexchangeratesinchinaistheretheheterogeneouseffectofeconomicpolicyuncertainty AT yongtan sustainableexchangeratesinchinaistheretheheterogeneouseffectofeconomicpolicyuncertainty |
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1724719406456504320 |