ArticlePloS one2023
Asymmetric spillover between economic policy uncertainty and exchange rate volatility: A global network connectedness perspective.
Article in PloS one, 2023. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 1 paper.
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
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Who cites it
1 citing paper in PubMed.
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Authors and funding
3 authors.
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Abstract
This study employs the network connectedness approach to examine the risk spillover between the economic policy uncertainty (EPU) and exchange rate volatility (ERV) of 21 countries. Using monthly data from January 1997 to August 2022, we find that the spillover effect of ERV on EPU is greater than that of the inverse. In addition, the spillover effect of EPU on ERV is mainly concentrated in the foreign exchange markets of developing countries. This finding indicates that the foreign exchange markets of developing countries are more susceptible to shocks of global economic risk, and the spreading of risk contagion between EPU and ERV mainly follows the pathway "increase in global ERV → rising global EPU → further intensified volatility in the foreign exchange markets of developing countries." A rolling-window analysis shows that the spillover between global EPU and ERV is time-varying. The cross-market spillovers between EPU and ERV in the post-crisis period continued to rise and further increased sharply after the outbreak of the COVID-19 pandemic.
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