scholarly journals Does Economic Policy Uncertainty Affect Exchange Rate in China and Japan? Evidence from Threshold Cointegration with Asymmetric Adjustment

2022 ◽  
Vol 12 (1) ◽  
pp. 28-36
Author(s):  
Riadh El Abed ◽  
Zouheir Mighri ◽  
Abderrazek Ben Hamouda
Keyword(s):  
Economic Policy ◽  
Threshold Effect ◽  
Adjustment Process ◽  
Policy Uncertainty ◽  
Threshold Cointegration ◽  
Asymmetric Effect ◽  
Asymmetric Adjustment ◽  
Economic Policy Uncertainty ◽  
Nominal Exchange Rates ◽  
China And Japan

In this article, we estimate the links between nominal exchange rates (JPY/USD and CNY/USD) and economic policy uncertainty (EPU) in China and Japan by employing monthly data during the period span from January 1997 to September 2020. The threshold cointegration approach focus in TAR, M-TAR, C-TAR and C-MTAR is used. Results indicate the evidence of asymmetric effect in the adjustment process to equilibrium and the M-TAR is the best model to detect threshold effect for the (CNY/USD-CNYEPU) pair and the C-TAR is the best model to detect threshold effect for the (JPY/USD-JPYEPU) pair.  

scholarly journals Economic Policy Uncertainty Linkages among Asian Countries: Evidence from Threshold Cointegration Approach

2021 ◽  
Vol 2021 ◽  
pp. 1-15
Author(s):  
Prince Mensah Osei ◽  
Reginald Djimatey ◽  
Anokye M. Adam
Keyword(s):  
Economic Policy ◽  
Causal Relationship ◽  
Policy Uncertainty ◽  
Threshold Cointegration ◽  
Asian Countries ◽  
Asymmetric Adjustment ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
Short Run ◽  
Spectral Frequency

This paper employs the threshold cointegration methodology to assess the long- and short-run dynamics of asymmetric adjustment between economic policy uncertainty (EPU) of China-India, China-Japan, China-Korea, India-Japan, India-Korea, and Japan-Korea pairs using monthly EPU data ranging from January 1997 to April 2020. The relationship between the EPU pairs is examined in terms of Engle-Granger and threshold cointegrations. The findings provide evidence of long-run threshold cointegration and that the adjustments towards the long-run equilibrium position are asymmetric in the short run for the China-India and India-Japan EPU pairs in M-TAR specification with nonzero threshold values. Also, the results suggest a unidirectional causal relationship between China-India, China-Japan, and India-Korea EPU pairs in the long and short run using the spectral frequency domain causality approach. However, a bidirectional causal relationship between China-Korea, India-Japan, and Japan-Korea pairs exists in the long and short run. Therefore, the findings provide some clues to economic policymakers within the Asian subregion for possible policy uncertainty synergies and spillovers among the Asian countries.

INSURANCE CONSUMPTION AND ECONOMIC POLICY UNCERTAINTY IN INDIA: AN ANALYSIS OF ASYMMETRIC EFFECTS

2021 ◽  
pp. 1-29
Author(s):  
SIDDHARTH KUMAR ◽  
NARESH CHANDRA SAHU ◽  
PUSHP KUMAR
Keyword(s):  
Economic Policy ◽  
Life Insurance ◽  
Structural Break ◽  
Negative Relationship ◽  
Policy Uncertainty ◽  
Asymmetric Effect ◽  
Economic Policy Uncertainty ◽  
Asymmetric Effects ◽  
Distributed Lag ◽  
Insurance Consumption

This study examines the asymmetric effect of economic policy uncertainty (EPU) on life and non-life insurance consumption in India using monthly data from April 2004–October 2020. The paper has employed a nonlinear autoregressive distributed lag (NARDL) model with a structural break. The results reveal that there exists an asymmetric effect of EPU on life insurance as well as non-life life insurance consumption. A negative relationship is found between EPU and insurance consumption in both life and non-life insurance. Based on the findings, the study suggests the policymakers to consider the asymmetric effects of EPU while formulating insurance-related policies in India.

scholarly journals Geopolitical-Risk and Economic Policy–Uncertainty Impacts on Tourist Flows from Neighboring Countries: A Wavelet Analysis

2021 ◽  
Vol 13 (24) ◽  
pp. 13751
Author(s):  
Alisa Kazakova ◽  
Insin Kim
Keyword(s):  
Economic Policy ◽  
South Korea ◽  
Tourism Industry ◽  
Policy Uncertainty ◽  
Tourism Demand ◽  
Economic Policy Uncertainty ◽  
China And Japan ◽  
The Impact ◽  
Wavelet Coherency ◽  
Geopolitical Risks

This paper investigates the nexus of geopolitical risks (GPRs), economic policy uncertainty (EPU), and tourist arrivals in South Korea. Specifically, this research examines whether arrivals from neighboring tourism source countries (i.e., China and Japan) are influenced by geopolitical events and economic volatilities in South Korea. To establish the research purpose, we investigated the relationships among GPRs, EPU, and tourism demand by using monthly data from January 2003 to November 2019. Additionally, innovative techniques (continuous wavelets, wavelet coherency, and wavelet phase difference) were employed, which allow the decomposition of time series considering different time and frequency components. The results demonstrate inconsistent and heterogeneous co-movements between variables that are localized across different time periods and frequencies. In addition, we detected several significant coherencies that prove the important role of GPR and EPU in explaining changes in the numbers of tourists arriving in South Korea from China and Japan. In terms of time domain, negative and positive correlations in tourism demand were detected, meaning that economic and geopolitical shocks may not always lead to negative consequences. From the frequency domain, the causal effects of GPR mostly appear to have short- to mid-run implications, with almost no relationship in the low-frequency band, whereas EPU holds a heterogeneous influence varying short-term to long-term, including higher to lower frequencies. Results show the resilience of the tourism industry against the transient effects of economic and geopolitical shocks. Tourists become adversely affected by external events such as geopolitical risks and economic uncertainties, but the impact is not consistent over time for tourists from countries neighboring Korea. The findings provide a deeper understanding of how crisis events, including political instability and economic fluctuations, can affect inbound tourism in geographically and historically interrelated countries. Therefore, to minimize the negative effect on tourism demand, it is important for practitioners to consider potential external threats when making forecasts.

scholarly journals The Post-COVID-19 Economic Policy Uncertainty and the Effectiveness of Monetary Policy: Evidence From China

2021 ◽  
Vol 9 ◽  
Author(s):  
Yuegang Song ◽  
Yanling Yang ◽  
Jianzhong Yu ◽  
Zhichao Zhao
Keyword(s):  
Monetary Policy ◽  
Economic Policy ◽  
Central Bank ◽  
Threshold Effect ◽  
Policy Instrument ◽  
Output Gap ◽  
Policy Uncertainty ◽  
Time Varying ◽  
Vector Autoregressive ◽  
Economic Policy Uncertainty

The outbreak of the COVID-19 pandemic has caused an upsurge economic policy uncertainty (EPU). Study on the time-varying effect of EPU is of substantial implication for the central bank in implementation of monetary policy. To empirically investigate the time-varying effect of EPU, the paper considers the shock of the monetary policy implemented by China's central bank on different economic variables including interest rate, output gap, and inflationary gap using the latent threshold time-varying parameter vector autoregressive model (LT-TVP-VAR Model). Data period is chosen to be January 2015 through April 2021. Our findings show that (i) EPU has a significant threshold effect on the shock of quantitative monetary policy instrument and the shock of price-based monetary policy, and that the two types of policy are positively correlated; (ii) the price-based monetary policy instrument has a significant counter-cyclical effect on both output gap and inflationary gap; (iii) relative to the quantitative monetary policy instrument, the price-based monetary policy instrument has a more significant counter-cyclical effect on output gap; and (iv) a higher level of EPU is associated with a more significant monetary policy effect on output gap and inflationary gap.

scholarly journals Threshold Cointegration Approach for Assessing the Impact of US Economic Policy Uncertainty on Monetary Policy Decision of African Countries

2021 ◽  
Vol 68 (4) ◽  
pp. 509-528
Author(s):  
Prince Mensah Osei ◽  
Anokye Adam
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Economic Policy ◽  
Policy Uncertainty ◽  
Threshold Cointegration ◽  
African Countries ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
The Us ◽  
The Impact

This study uses threshold cointegration technique to ascertain the relationship between United States (US) economic policy uncertainty (EPU) and monetary policy rate (MPR) of each of the four African countries, namely Egypt, Ghana, Namibia and South Africa using monthly data from March 1998 to April 2020. The impact of US EPU on MPR of each country is assessed by examining the linear cointegration, asymmetric cointegration and causal relationships in the frequency domain between the US EPU and MPR of each African country. The findings provide evidence of long-run threshold cointegration and the adjustment mechanisms towards long-run equilibrium are asymmetric in the short run for the MPR models for Ghana, Namibia and South Africa in the M-TAR specification except for Egypt’s MPR model which does not provide evidence of asymmetric adjustment towards the equilibrium position. The bivariate analysis performed in the spectral frequency domain suggests unidirectional causality between US EPU and MPR of each country and that, the US EPU influences the MPR of each country in the long run. The findings provide important guidelines to monetary policy reviewers to take policy stance that would stimulate economic growth amid US policy uncertainties.

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