Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model

被引：63

作者：

Zhou, Zhongbao ^{[1
]}

Fu, Zhangyan ^{[1
]}

Jiang, Yong ^{[2
]}

Zeng, Ximei ^{[1
]}

Lin, Ling ^{[3
]}

机构：

[1] Hunan Univ, Sch Business Adm, Changsha 410082, Peoples R China

[2] Nanjing Audit Univ, Nanjing 211815, Peoples R China

[3] Hunan Agr Univ, Sch Econ, Changsha 410128, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2020年 / 34卷

基金：

中国国家自然科学基金;

关键词：

Economic policy uncertainty; Chinese exchange rate volatility; GARCH-MIDAS model; Forecasting; RATE RETURNS; INVESTMENT;

D O I：

10.1016/j.frl.2019.08.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：8

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