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- W2966902103 abstract "This paper investigates the impact of relative economic policy uncertainty between China and the United States (the Sino-US EPU ratio) on the Chinese exchange rate volatility by employing a GARCH-MIDAS model. Moreover, we compare the out-of-sample volatility forecasting performance of the GARCH-MIDAS model with that of traditional GARCH-type models. The empirical results suggest that: (i) the Sino-US EPU ratio has a positive impact on the long-term volatility of the Chinese exchange rate, (ii) the GARCH-MIDAS model performs better than the traditional GARCH-type models." @default.
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- W2966902103 date "2020-05-01" @default.
- W2966902103 modified "2023-09-30" @default.
- W2966902103 title "Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model" @default.
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- W2966902103 doi "https://doi.org/10.1016/j.frl.2019.08.006" @default.
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