作者:Han, LY (Han, Liyan)[ 1 ] ; Liu, Y (Liu, Yang)[ 1 ] ; Yin, LB (Yin, Libo)[ 2 ]
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
卷: 48页: 702-729
DOI: 10.1016/j.najef.2018.08.006
出版年: APR 2019
文献类型:Article
摘要
We utilize a quantile-on-quantile (QQ) approach to uncover the complex and unstable relationships between uncertainty and the currency performance of developed and developing countries. Strong empirical evidence demonstrates that the state-dependent spillover effect of US uncertainty exerts shocks on exchange rates. We shed new light on the asymmetric characteristic of "flight to quality." When US uncertainty is at a high level, safe-haven currencies are favored, while the weak currencies depreciate. However, with a low quantile of uncertainty, the developed currencies remain relatively stable, while emerging currencies are confronted by greater depreciation. Moreover, unexpected uncertainty spillover from the US to different currency markets plays an important role under low uncertainty, heightening the variations in exchange rates and causing the currency values to deviate.
关键词
作者关键词:Financial uncertainty; Macro uncertainty; Foreign exchange rates; Nonlinear relationship; Quantile-on-quantile method; Asymmetric impact
KeyWords Plus:ECONOMIC-POLICY UNCERTAINTY; EXCHANGE-RATES; INVESTMENT; US; GOVERNMENT; LIQUIDITY; IMPACT; OVERCONFIDENCE; PREDICTABILITY; MARKETS
作者信息
通讯作者地址:
Central University of Finance & Economics Cent Univ Finance & Econ, Sch Finance, Beijing, Peoples R China.
通讯作者地址: Yin, LB (通讯作者)
Cent Univ Finance & Econ, Sch Finance, Beijing, Peoples R China.
[ 1 ]Beihang Univ, Sch Econ & Management, Beijing, Peoples R China
[ 2 ]Cent Univ Finance & Econ, Sch Finance, Beijing, Peoples R China
电子邮件地址:yinlibowsxbb@126.com
