Economic Policy Uncertainty and Exchange Rate Volatility

2014 ◽  
Vol 17 (2) ◽  
pp. 241-256 ◽  
Author(s):  
Robert Krol
Keyword(s):  
Economic Policy ◽  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty

scholarly journals CAN ECONOMIC POLICY UNCERTAINTY PREDICT EXCHANGE RATE AND ITS VOLATILITY? EVIDENCE FROM ASEAN COUNTRIES

2018 ◽  
Vol 21 (2) ◽  
pp. 265-282 ◽  
Author(s):  
Dinh Hoang Bach Phan ◽  
Solikin M. Juhro
Keyword(s):  
Economic Policy ◽  
Exchange Rate ◽  
Standard Deviation ◽  
Global Financial Crisis ◽  
Exchange Rate Volatility ◽  
Policy Uncertainty ◽  
Standard Deviation Increase ◽  
Economic Policy Uncertainty ◽  
The Exchange Rate ◽  
Asean Countries

This paper studies whether the global economic policy uncertainty (EPU) predicts the exchange rate and its volatility in 10 ASEAN countries using monthly data from January 1997 to December 2017. Applying the recently developed predictive regression model of Westerlund and Narayan (2012, 2015), we discover that the EPU positively and statistically significantly predicts the exchange rate of six out of ten currencies. One standard deviation increase in the EPU index leads to a depreciation of between 0.050% and 2.047% in these currencies. Moreover, the EPU predicts the exchange rate volatility for all 10 ASEAN countries. Their exchange rate volatilities increase by between 0.107% and 0.645% as a result of a one standard deviation increase in the EPU index. These results are robust to different forecasting horizons, different sub-sample periods, and after controlling for the global financial crisis.

Investigating the Uncertainty of Government Economic Policies on Inbound Tourism in Iran

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Azam Mohammadzadeh ◽  
Mohammad Nabi Shahiki Tash
Keyword(s):  
Economic Policy ◽  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Political Stability ◽  
Policy Uncertainty ◽  
Economic Policies ◽  
Economic Policy Uncertainty ◽  
Explanatory Variables ◽  
Inbound Tourism

AbstractOver the past three decades, there has been an increasing focus on the subject of global tourism in Iran’s economy. This article examines the most important economic factors affecting this industry in this country, especially economic policy uncertainty. For this purpose, three models specify the number of tourists entering the country as a dependent variable and Consumer Price Index, Tehran Exchange Price Index, market exchange rate, semi-annual dummy variable, and exports as explanatory variables. To investigate the uncertainty of the government’s economic policies, three variables liquidity fluctuations, tax revenue fluctuations, and government expenditures fluctuations have been added along with the above variables. To obtain the fluctuations, the GARCH function is used then the relations are estimated by the GMM method. The estimation of models using monthly data from March 2011 to August 2018 shows that explanatory variables are significant. The results indicate that economic policy uncertainty has negatively affected the arrival of the tourist. An increase in exchange rate, consumer price index, exports, and stock market price index have a positive effect on the arrival of tourists. Therefore, due to inbound tourism sensitivity to shocks, the growth and survival of tourism depend on economic and political stability.

Sign in / Sign up

Export Citation Format

Share Document