IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v58y2022i7p1807-1820.html
   My bibliography  Save this article

Time-varying Effects of U.S. Economic Policy Uncertainty on Exchange Rate Return and Volatility in China

Author

Listed:
  • Panpan Wang
  • Yishi Li
  • Sixu Wu

Abstract

We examine the mean and volatility spillover effects of U.S. economic policy uncertainty (EPU) on the RMB exchange rate return and the effects’ time-varying features corresponding to the 2015 “8.11” RMB exchange rate reform and the Sino–U.S. trade friction. We find that rising U.S. EPU amplifies the RMB exchange rate return’s volatility at the volatility spillover level while driving the RMB’s appreciation against the USD at the mean spillover level. After the reform’s implementation, the U.S. EPU’s mean spillover on the RMB exchange rate return disappears, while the volatility spillover increases and is further enhanced by trade friction.

Suggested Citation

  • Panpan Wang & Yishi Li & Sixu Wu, 2022. "Time-varying Effects of U.S. Economic Policy Uncertainty on Exchange Rate Return and Volatility in China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(7), pages 1807-1820, May.
    • Handle: RePEc:mes:emfitr:v:58:y:2022:i:7:p:1807-1820
    DOI: 10.1080/1540496X.2021.1937114
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2021.1937114
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2021.1937114?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lu, Man & Wang, Wei & Chen, Fengwen & Li, Hongmei, 2024. "Dynamic impacts of multidimensional uncertainty on the renminbi exchange rate: Insights from time-varying analysis," International Review of Financial Analysis, Elsevier, vol. 94(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:58:y:2022:i:7:p:1807-1820. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.