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Impact of US monetary policy uncertainty on Asian exchange rates

Author

Listed:
  • Donghyun Park

    (Asian Development Bank)

  • Irfan Qureshi

    (Asian Development Bank)

  • Shu Tian

    (Asian Development Bank)

  • Mai Lin Villaruel

    (Asian Development Bank)

Abstract

We examine the impact of US monetary policy uncertainty (MPU) on the dollar exchange rates of ten Asian economies between February 2006 and January 2019. Our results, which are based on an EGARCH model, indicate that MPU tends to increase the variance of exchange rates rather than affecting the level of exchange rates. The results may have significant implications for the ten economies’ conduct of monetary policy.

Suggested Citation

  • Donghyun Park & Irfan Qureshi & Shu Tian & Mai Lin Villaruel, 2022. "Impact of US monetary policy uncertainty on Asian exchange rates," Economic Change and Restructuring, Springer, vol. 55(1), pages 73-82, February.
    • Handle: RePEc:kap:ecopln:v:55:y:2022:i:1:d:10.1007_s10644-020-09307-3
    DOI: 10.1007/s10644-020-09307-3
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    References listed on IDEAS

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    More about this item

    Keywords

    Monetary policy uncertainty; Exchange rate; Asia; Volatility; EGARCH;
    All these keywords.

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • F30 - International Economics - - International Finance - - - General

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