scholarly journals On the Exchange Rate and Economic Policy Uncertainty Nexus: A Panel VAR Approach for Emerging Markets

2020 ◽  
Author(s):  
Abir Abid ◽  
Christophe Rault
Keyword(s):  
Economic Policy ◽  
Exchange Rate ◽  
Emerging Markets ◽  
Panel Var ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The Exchange Rate

Analysis of global economic policy uncertainty and export flows for emerging markets with panel VAR modeling

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Çağlayan Aslan ◽  
Senay Acikgoz
Keyword(s):  
Economic Policy ◽  
Emerging Markets ◽  
Emerging Market ◽  
Partial Least Square ◽  
Panel Var ◽  
Policy Uncertainty ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
The Real ◽  
Export Flows

PurposeThe purpose of this paper to examine how global economic policy uncertainty (GEPU) affects export flows of emerging market economies.Design/methodology/approachThis study examines the effect of GEPU on 28 emerging markets' export performance. GEPU variable used in the authors’ empirical analysis is measured by partial least square (PLS) factor loading model with the help of 24 countries' economic policy uncertainty index. A panel vector autoregression (VAR) model is employed for the estimations and monthly data over the 2006:01–2019:12 period are used.FindingsThe empirical findings show that while the real external income is the main factor that affects export flows, the real exchange rate is the least effective variable with regard to the variance decomposition, which is not expected by the related economic theory. Panel VAR estimations results confirm the previous studies and find that GEPU affects export flows negatively and significantly.Originality/valueTo the best of the authors’ knowledge, this is the sole study in terms of focusing on the impacts of GEPU on the export volume of emerging markets. The contribution of this paper is twofold. Firstly, a large set of countries with monthly frequented data that assist to capture uncertainties better is used. Secondly, the global economic policy index is obtained by employing the PLS method, which provides more robust results that are calculated with respect to the dependent variable.

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.

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