School of Economics and Management, Southeast University, Nanjing, Jiangsu Province, China.
College of Economics and Management, Zhejiang University of Water Resources and Electric Power, Hangzhou, Zhejiang Province, China.
PLoS One. 2023 Jan 26;18(1):e0279729. doi: 10.1371/journal.pone.0279729. eCollection 2023.
This study employs the network connectedness approach to examine the risk spillover between the economic policy uncertainty (EPU) and exchange rate volatility (ERV) of 21 countries. Using monthly data from January 1997 to August 2022, we find that the spillover effect of ERV on EPU is greater than that of the inverse. In addition, the spillover effect of EPU on ERV is mainly concentrated in the foreign exchange markets of developing countries. This finding indicates that the foreign exchange markets of developing countries are more susceptible to shocks of global economic risk, and the spreading of risk contagion between EPU and ERV mainly follows the pathway "increase in global ERV → rising global EPU → further intensified volatility in the foreign exchange markets of developing countries." A rolling-window analysis shows that the spillover between global EPU and ERV is time-varying. The cross-market spillovers between EPU and ERV in the post-crisis period continued to rise and further increased sharply after the outbreak of the COVID-19 pandemic.
本研究采用网络关联方法，考察了 21 个国家的经济政策不确定性（EPU）和汇率波动（ERV）之间的风险溢出效应。利用 1997 年 1 月至 2022 年 8 月的月度数据，我们发现 ERV 对 EPU 的溢出效应大于反之。此外，EPU 对 ERV 的溢出效应主要集中在发展中国家的外汇市场。这一发现表明，发展中国家的外汇市场更容易受到全球经济风险冲击的影响，EPU 和 ERV 之间的风险传染蔓延主要遵循“全球 ERV 上升→全球 EPU 上升→发展中国家外汇市场波动进一步加剧”的路径。滚动窗口分析表明，全球 EPU 和 ERV 之间的溢出效应是时变的。后危机时期，EPU 和 ERV 之间的跨市场溢出持续上升，COVID-19 大流行爆发后进一步大幅上升。
