Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model

Autor:	Ximei Zeng, Yong Jiang, Zhangyan Fu, Zhongbao Zhou, Ling Lin
Rok vydání:	2020
Předmět:	050208 finance Exchange rate Economic policy Autoregressive conditional heteroskedasticity Exchange rate volatility 0502 economics and business 05 social sciences Economics 050207 economics Volatility (finance) Finance
Zdroj:	Finance Research Letters. 34:101258
ISSN:	1544-6123
DOI:	10.1016/j.frl.2019.08.006
Popis:	This paper investigates the impact of relative economic policy uncertainty between China and the United States (the Sino-US EPU ratio) on the Chinese exchange rate volatility by employing a GARCH-MIDAS model. Moreover, we compare the out-of-sample volatility forecasting performance of the GARCH-MIDAS model with that of traditional GARCH-type models. The empirical results suggest that: (i) the Sino-US EPU ratio has a positive impact on the long-term volatility of the Chinese exchange rate, (ii) the GARCH-MIDAS model performs better than the traditional GARCH-type models.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::408e25966d8e3d9b23e50f921caab2c9 https://doi.org/10.1016/j.frl.2019.08.006 Zobrazit plný text záznamu Full Text from ScienceDirect