Chang Bisharat Hussain, Derindag Omer Faruk, Hacievliyagil Nuri, Canakci Mehmet
Department of Business Administration, Sukkur IBA University, Sukkur, Pakistan.
Department of International Trade and Business, Inonu University, Battalgazi, Malatya, Turkey.
Humanit Soc Sci Commun. 2022;9(1):358. doi: 10.1057/s41599-022-01372-5. Epub 2022 Oct 10.
Recent studies have examined the relationship between economic policy uncertainty and exchange rate. We contribute to this literature by considering the effect of minor positive and major positive changes as well as minor negative and major negative changes in the economic policy uncertainties on the exchange rates. In this regard, we use a recently developed multiple asymmetric threshold nonlinear ARDL model along with Granger causality in quantile test. Our estimates support the asymmetric effect in three countries only when an asymmetric ARDL model is used. However, these estimates support asymmetric effects for all the sample countries when the multiple asymmetric threshold nonlinear ARDL model is used. Moreover, the effect varies across various quantiles when Granger causality in quantile test is used. Overall, the extended model helps us to examine more minutely the impact of EPU and GEPU on the exchange rate in G7 countries. The results of this study can be useful for the central banks to devise appropriate policies to intervene in the foreign exchange market.
近期的研究探讨了经济政策不确定性与汇率之间的关系。我们通过考虑经济政策不确定性中的轻微正向和重大正向变化以及轻微负向和重大负向变化对汇率的影响，为这一文献做出了贡献。在这方面，我们使用了最近开发的多重非对称阈值非线性自回归分布滞后模型以及分位数检验中的格兰杰因果关系。只有在使用非对称自回归分布滞后模型时，我们的估计才支持三个国家的非对称效应。然而，当使用多重非对称阈值非线性自回归分布滞后模型时，这些估计支持所有样本国家的非对称效应。此外，当使用分位数检验中的格兰杰因果关系时，效应在不同分位数间有所不同。总体而言，扩展模型有助于我们更细致地考察经济政策不确定性（EPU）和全球经济政策不确定性（GEPU）对七国集团国家汇率的影响。本研究结果对于央行制定适当政策干预外汇市场可能会有所帮助。
