IDEAS home Printed from https://ideas.repec.org/a/wsi/gejxxx/v22y2022i03ns2194565923500069.html
   My bibliography  Save this article

The Economic Policy Uncertainty Extreme Dynamics And Its Effect On The Exchange Rate

Author

Listed:
  • RAHEEL GOHAR

    (College of Business Administration, Al Yamamah University, Riyadh, Saudi Arabia)

  • MOHAMED OSMAN

    (Dubai Business School, University of Dubai, Dubai, UAE)

  • EMMANUEL UCHE

    (Department of Economics, Abia State University, Uturu, Abia State, Nigeria)

  • P. A. MARY AUXILIA

    (Loyola Institute of Business Administration, Chennai, Tamil Nadu, India)

  • BISHARAT HUSSAIN CHANG

    (Department of Business Administration, Sukkur IBA University, Sukkur, Pakistan)

Abstract

The effect of economic policy uncertainty (EPU) on other macroeconomic and financial variables has been the subject of prior research investigations. However, a dearth of work explicitly examines the connection between EPU exchange rate changes. By utilizing both nonlinear ARDL (NARDL) and multiple threshold NARDL (MTNARDL) models, we add to the body of literature by analyzing the nonlinear impact of EPU on exchange rates. The MTNARDL model, which distinguishes between the impacts of very small changes in the EPU from very large changes in the EPU on the exchange rate, is an expanded version of the NARDL model. The MTNARDL results confirm an asymmetric effect of EPU on exchange rates in the long run for all sample countries, contrary to the NARDL estimates, which show that EPU has an asymmetric effect in Brazil, Turkey, and China only. Similarly, only one country is supported by NARDL estimates for the short-run asymmetric effect, but MTNARDL estimates support the effect in five countries. Therefore, in our study, the MTNARDL model aids the prior literature in examining the more comprehensive impact of EPU on the exchange rates.

Suggested Citation

  • Raheel Gohar & Mohamed Osman & Emmanuel Uche & P. A. Mary Auxilia & Bisharat Hussain Chang, 2022. "The Economic Policy Uncertainty Extreme Dynamics And Its Effect On The Exchange Rate," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-22, September.
  • Handle: RePEc:wsi:gejxxx:v:22:y:2022:i:03:n:s2194565923500069
    DOI: 10.1142/S2194565923500069
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2194565923500069
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://libkey.io/10.1142/S2194565923500069?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ennadifi Imane & Bisharat Hussain Chang & Tarek Abbas Elsherazy & Wing-Keung Wong & Mohammed Ahmar Uddin, 2023. "The External Exchange Rate Volatility Influence on The Trade Flows: Evidence from Nonlinear ARDL Model," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(2), pages 75-98, June.
    2. Bisharat Hussain Chang & Khalil Ahmed Channa & Emmanuel Uche & Osamah Ibrahim Khalaf & Osamah Waheed Ali, 2022. "Analyzing the impacts of terrorism on innovation activity: A cross country empirical study," Advances in Decision Sciences, Asia University, Taiwan, vol. 26(Special), pages 124-161, December.
    3. Huo, Dongxia & Bagadeem, Salim & Elsherazy, Tarek Abbas & Nasnodkar, Siddhesh Prabhu & Kalra, Akash, 2023. "Renewable energy consumption and the rising effect of climate policy uncertainty: Fresh policy analysis from China," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 1459-1474.
    4. Lu, Man & Chang, Bisharat Hussain & Salman, Asma & Razzaq, Muthanna G. Abdul & Uddin, Mohammed Ahmar, 2023. "Time varying connectedness between foreign exchange markets and crude oil futures prices," Resources Policy, Elsevier, vol. 86(PB).

    More about this item

    Keywords

    E7 countries; MTNARDL model; Â NARDL model; exchange rates; economic policy uncertainty;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:gejxxx:v:22:y:2022:i:03:n:s2194565923500069. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: https://www.worldscientific.com/worldscinet/gej .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.