dc.contributor.author |
Christou, Christina
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Hassapis, Christis
|
|
dc.contributor.author |
Suleman, Tahir
|
|
dc.date.accessioned |
2018-11-28T05:51:29Z |
|
dc.date.issued |
2018-11 |
|
dc.description.abstract |
In this paper, we investigate whether the news‐based measure of economic policy uncertainty (EPU) can be used to forecast exchange rate returns and volatility using a quantile regression approach, which accounts for persistence and endogeneity, using data from 13 different countries. Our main findings suggest that: (i) EPU is useful for forecasting exchange rate returns and volatility, (ii) forecasting ability–quantile order relationships exhibit a U‐shape, possibly asymmetric form around the median; and (iii) asymmetries are more pronounced in the case of forecasting volatility. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2019-11-01 |
|
dc.description.librarian |
hj2018 |
en_ZA |
dc.description.uri |
http://wileyonlinelibrary.com/journal/for |
en_ZA |
dc.identifier.citation |
Christou C, Gupta R,
Hassapis C, Suleman T. The role of economic
uncertainty in forecasting exchange rate returns
and realized volatility: Evidence from quantile
predictive regressions. Journal of Forecasting.
2018;37:705–719. https://doi.org/10.1002/for.2539. |
en_ZA |
dc.identifier.issn |
0277-6693 (print) |
|
dc.identifier.issn |
1099-131X (online) |
|
dc.identifier.other |
10.1002/for.2539 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/67340 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Wiley |
en_ZA |
dc.rights |
© 2018 John Wiley & Sons, Ltd. This is the pre-peer reviewed version of the following article : The role of economic
uncertainty in forecasting exchange rate returns
and realized volatility: Evidence from quantile
predictive regressions. Journal of Forecasting.
2018;37:705–719. https://doi.org/10.1002/for.2539. The definite version is available at : http://wileyonlinelibrary.com/journal/for. |
en_ZA |
dc.subject |
Developed markets |
en_ZA |
dc.subject |
Emerging markets |
en_ZA |
dc.subject |
Economic policy uncertainty (EPU) |
en_ZA |
dc.subject |
Exchange rate returns |
en_ZA |
dc.subject |
Quantile predictive regressions |
en_ZA |
dc.subject |
Volatility |
en_ZA |
dc.subject |
Predictability |
en_ZA |
dc.subject |
Monetary policy |
en_ZA |
dc.subject |
Forecasting |
en_ZA |
dc.title |
The role of economic uncertainty in forecasting exchange rate returns and realized volatility : evidence from quantile predictive regressions |
en_ZA |
dc.type |
Postprint Article |
en_ZA |