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Impact of economic policy uncertainty on exchange rate volatility of China

Open access
Chen, Liming, Du, Ziqing, Hu, Zhihao·2020·Finance Research Letters
DOI 10.1016/j.frl.2019.08.014
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Abstract

This study investigates the impact of economic policy uncertainty (EPU) on China's exchange rate volatility from December 2001 to November 2018. Using the quantile regression, our results show that the impact of EPU on exchange rate volatility in China exhibits asymmetry as well as heterogeneity in different markets. The EPU for China impacts positively and significantly on all quantiles volatilities of exchange rates. Furthermore, we observe that EPU has a mixed effect on exchange rate volatility with apparent economy-by-economy differences. The US, Europe and Japan EPU have significant impacts, while Hong Kong EPU is insignificantly correlated with exchange rate volatility.

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Metadata

Authors
Chen, L., Du, Z., & Hu, Z.
Venue
Finance Research Letters
Publisher
Elsevier BV
Published
2020-01
Volume
32
Pages
101266
ISSN
1544-6123 (ISSN-L)
DOI
10.1016/j.frl.2019.08.014
OpenAlex
W2969420522
Cited by
206
References
0
FWCI
23.07
Type
journal article
Language
en
Open access
hybrid
Licence
Funders
National Office for Philosophy and Social Sciences (18BTJ044)

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CoChat. (2026). Citation check: Impact of economic policy uncertainty on exchange rate volatility of China. https://app.cochat.ai/papers/10.1016/j.frl.2019.08.014
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Chen, L., Du, Z., & Hu, Z. (2020). Impact of economic policy uncertainty on exchange rate volatility of China. Finance Research Letters. https://doi.org/10.1016/j.frl.2019.08.014

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

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