Euro area Uncertainty and Euro Exchange Rate Volatility: Exploring the Role of Transnational Economic Policy

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F23%3A43923895" target="_blank" >RIV/62156489:43110/23:43923895 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.1016/j.frl.2023.104351" target="_blank" >https://doi.org/10.1016/j.frl.2023.104351</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.frl.2023.104351" target="_blank" >10.1016/j.frl.2023.104351</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Euro area Uncertainty and Euro Exchange Rate Volatility: Exploring the Role of Transnational Economic Policy

Popis výsledku v původním jazyce

This study examines the relationship between economic policy uncertainty and Euro area exchange rate volatility, focusing on transnational Euro area uncertainty. The study introduces a novel index that captures uncertainty related to Euro area integration. The index is constructed using both traditional and advanced textual analysis methods. By employing a quantile regression framework, findings show that Euro area uncertainty significantly impacts the euro exchange rate&apos;s volatility, while national economic policy uncertainty is generally insignificant. The study emphasizes the importance of considering both national and supranational uncertainties when analysing exchange rate volatility, contributing to the existing literature on this subject.

Název v anglickém jazyce

Euro area Uncertainty and Euro Exchange Rate Volatility: Exploring the Role of Transnational Economic Policy

Popis výsledku anglicky

This study examines the relationship between economic policy uncertainty and Euro area exchange rate volatility, focusing on transnational Euro area uncertainty. The study introduces a novel index that captures uncertainty related to Euro area integration. The index is constructed using both traditional and advanced textual analysis methods. By employing a quantile regression framework, findings show that Euro area uncertainty significantly impacts the euro exchange rate&apos;s volatility, while national economic policy uncertainty is generally insignificant. The study emphasizes the importance of considering both national and supranational uncertainties when analysing exchange rate volatility, contributing to the existing literature on this subject.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance Research Letters

ISSN

1544-6123

e-ISSN

1544-6131

Svazek periodika

58

Číslo periodika v rámci svazku

December

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

6

Strana od-do

104351

Kód UT WoS článku

001067202900001

EID výsledku v databázi Scopus

2-s2.0-85172481103