Accéder directement au contenu Accéder directement à la navigation
Nouvelle interface
Article dans une revue

On the Exchange Rates Volatility and Economic Policy Uncertainty Nexus: A Panel VAR Approach for Emerging Markets

Abir Abid 1, 2 Christophe Rault 1, * 
Abstract : We examine the Economic Policy Uncertainty (EPU) transmission over the Exchange Rate Volatility (ERV) for 8 Emerging Market Economies (EME) using the recent panel VAR methodology of Abrigo and Love (Stata Journal 16:778-804, 2016). The econometric investigation reveals that: (a) both domestic and US-EPU shocks exert positive effects on the ERV, (b) the contribution of the US-EPU to the ERV fluctuations overcomes the own EPU's share, (c) the ERV acts as a possible transmission channel of the US-EPU to the domestic economic activity, (d) the domestic EPU increases in response to a higher US-EPU and vice versa and (e) the latter is surprisingly and markedly sensitive to EME macroeconomic conditions. Our findings are robust to different sensitivity analyses, provide novel insights into EPU international spillovers, and have interesting policy implications for EME decisions makers and investors.
Type de document :
Article dans une revue
Liste complète des métadonnées

https://hal-uco.archives-ouvertes.fr/hal-03510827
Contributeur : Karine Coutant Connectez-vous pour contacter le contributeur
Soumis le : mardi 4 janvier 2022 - 16:22:06
Dernière modification le : mercredi 27 avril 2022 - 03:38:41

Lien texte intégral

Identifiants

Citation

Abir Abid, Christophe Rault. On the Exchange Rates Volatility and Economic Policy Uncertainty Nexus: A Panel VAR Approach for Emerging Markets. Journal of Quantitative Economics, 2021, 19 (3), pp.403-425. ⟨10.1007/s40953-021-00240-4⟩. ⟨hal-03510827⟩

Partager

Métriques

Consultations de la notice

23