Extreme risk spillovers in RMB exchange rates : the role of categorical economic policy uncertainties

Gespeichert in:

Autor*in:	Wang, Xinya [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2024

Schlagwörter:	Economic policy uncertainty Extreme risks RMB exchange rate Spillovers Time-frequency domains

Übergeordnetes Werk:	Enthalten in: International review of economics & finance - Amsterdam [u.a.] : Elsevier Science, 1992, 94(2024) vom: Juli, Artikel-ID 103365, Seite 1-15
Übergeordnetes Werk:	volume:94 ; year:2024 ; month:07 ; elocationid:103365 ; pages:1-15

Links:	Link aufrufen Link aufrufen

DOI / URN:	10.1016/j.iref.2024.05.044

Katalog-ID:	1896035000

Internformat


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982			\|2 26 \|1 00 \|x DE-206 \|b Extreme risk fluctuations of one exchange rate can spill over to other exchange rates, and exploring the impact of economic policy uncertainty (EPU) on the spillover effect remains a limited but crucial issue. In addition, do different types of EPUs impact exchange-rate risk spillovers consistently, and at which frequencies are they the most significant? To answer this puzzle, categorical EPUs, namely fiscal policy uncertainty (FPU), monetary policy uncertainty (MPU), trade policy uncertainty (TPU), and exchange rate and capital account policy uncertainty (ECPU), are introduced to explore the role that each type of EPU plays in the RMB exchange rate extreme risk spillovers. Moreover, our investigation is also conducted in multiple time-frequency domains through the implementation of the wavelet transform approach. The results indicate that the MPU exerts the most significant impact on total spillovers, while the TPU exhibits the weakest impact. For the net spillovers of each RMB exchange rate, the HKD/CNY and the AUD/CNY are more sensitive to EPUs, particularly in the long-term time horizon. These findings provide potential implications for policymakers in terms of market stabilization and for investors with foreign currency assets.

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allfields	10.1016/j.iref.2024.05.044 doi (DE-627)1896035000 (DE-599)KXP1896035000 DE-627 ger DE-627 rda eng Wang, Xinya verfasserin (DE-588)1153425181 (DE-627)1014835186 (DE-576)500220018 aut Extreme risk spillovers in RMB exchange rates the role of categorical economic policy uncertainties Xinya Wang 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Economic policy uncertainty (dpeaa)DE-206 Extreme risks (dpeaa)DE-206 RMB exchange rate (dpeaa)DE-206 Spillovers (dpeaa)DE-206 Time-frequency domains (dpeaa)DE-206 Enthalten in International review of economics & finance Amsterdam [u.a.] : Elsevier Science, 1992 94(2024) vom: Juli, Artikel-ID 103365, Seite 1-15 Online-Ressource (DE-627)324452098 (DE-600)2026509-8 (DE-576)259271977 1059-0560 nnns volume:94 year:2024 month:07 elocationid:103365 pages:1-15 https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf Verlag lizenzpflichtig https://doi.org/10.1016/j.iref.2024.05.044 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 94 2024 7 103365 1-15 26 01 0206 4555761197 x1z 23-07-24 2403 01 DE-LFER 4565480336 00 --%%-- --%%-- n --%%-- l01 12-08-24 2403 01 DE-LFER https://doi.org/10.1016/j.iref.2024.05.044 2403 01 DE-LFER https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf 26 00 DE-206 Extreme risk fluctuations of one exchange rate can spill over to other exchange rates, and exploring the impact of economic policy uncertainty (EPU) on the spillover effect remains a limited but crucial issue. In addition, do different types of EPUs impact exchange-rate risk spillovers consistently, and at which frequencies are they the most significant? To answer this puzzle, categorical EPUs, namely fiscal policy uncertainty (FPU), monetary policy uncertainty (MPU), trade policy uncertainty (TPU), and exchange rate and capital account policy uncertainty (ECPU), are introduced to explore the role that each type of EPU plays in the RMB exchange rate extreme risk spillovers. Moreover, our investigation is also conducted in multiple time-frequency domains through the implementation of the wavelet transform approach. The results indicate that the MPU exerts the most significant impact on total spillovers, while the TPU exhibits the weakest impact. For the net spillovers of each RMB exchange rate, the HKD/CNY and the AUD/CNY are more sensitive to EPUs, particularly in the long-term time horizon. These findings provide potential implications for policymakers in terms of market stabilization and for investors with foreign currency assets.
spelling	10.1016/j.iref.2024.05.044 doi (DE-627)1896035000 (DE-599)KXP1896035000 DE-627 ger DE-627 rda eng Wang, Xinya verfasserin (DE-588)1153425181 (DE-627)1014835186 (DE-576)500220018 aut Extreme risk spillovers in RMB exchange rates the role of categorical economic policy uncertainties Xinya Wang 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Economic policy uncertainty (dpeaa)DE-206 Extreme risks (dpeaa)DE-206 RMB exchange rate (dpeaa)DE-206 Spillovers (dpeaa)DE-206 Time-frequency domains (dpeaa)DE-206 Enthalten in International review of economics & finance Amsterdam [u.a.] : Elsevier Science, 1992 94(2024) vom: Juli, Artikel-ID 103365, Seite 1-15 Online-Ressource (DE-627)324452098 (DE-600)2026509-8 (DE-576)259271977 1059-0560 nnns volume:94 year:2024 month:07 elocationid:103365 pages:1-15 https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf Verlag lizenzpflichtig https://doi.org/10.1016/j.iref.2024.05.044 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 94 2024 7 103365 1-15 26 01 0206 4555761197 x1z 23-07-24 2403 01 DE-LFER 4565480336 00 --%%-- --%%-- n --%%-- l01 12-08-24 2403 01 DE-LFER https://doi.org/10.1016/j.iref.2024.05.044 2403 01 DE-LFER https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf 26 00 DE-206 Extreme risk fluctuations of one exchange rate can spill over to other exchange rates, and exploring the impact of economic policy uncertainty (EPU) on the spillover effect remains a limited but crucial issue. In addition, do different types of EPUs impact exchange-rate risk spillovers consistently, and at which frequencies are they the most significant? To answer this puzzle, categorical EPUs, namely fiscal policy uncertainty (FPU), monetary policy uncertainty (MPU), trade policy uncertainty (TPU), and exchange rate and capital account policy uncertainty (ECPU), are introduced to explore the role that each type of EPU plays in the RMB exchange rate extreme risk spillovers. Moreover, our investigation is also conducted in multiple time-frequency domains through the implementation of the wavelet transform approach. The results indicate that the MPU exerts the most significant impact on total spillovers, while the TPU exhibits the weakest impact. For the net spillovers of each RMB exchange rate, the HKD/CNY and the AUD/CNY are more sensitive to EPUs, particularly in the long-term time horizon. These findings provide potential implications for policymakers in terms of market stabilization and for investors with foreign currency assets.
allfields_unstemmed	10.1016/j.iref.2024.05.044 doi (DE-627)1896035000 (DE-599)KXP1896035000 DE-627 ger DE-627 rda eng Wang, Xinya verfasserin (DE-588)1153425181 (DE-627)1014835186 (DE-576)500220018 aut Extreme risk spillovers in RMB exchange rates the role of categorical economic policy uncertainties Xinya Wang 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Economic policy uncertainty (dpeaa)DE-206 Extreme risks (dpeaa)DE-206 RMB exchange rate (dpeaa)DE-206 Spillovers (dpeaa)DE-206 Time-frequency domains (dpeaa)DE-206 Enthalten in International review of economics & finance Amsterdam [u.a.] : Elsevier Science, 1992 94(2024) vom: Juli, Artikel-ID 103365, Seite 1-15 Online-Ressource (DE-627)324452098 (DE-600)2026509-8 (DE-576)259271977 1059-0560 nnns volume:94 year:2024 month:07 elocationid:103365 pages:1-15 https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf Verlag lizenzpflichtig https://doi.org/10.1016/j.iref.2024.05.044 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 94 2024 7 103365 1-15 26 01 0206 4555761197 x1z 23-07-24 2403 01 DE-LFER 4565480336 00 --%%-- --%%-- n --%%-- l01 12-08-24 2403 01 DE-LFER https://doi.org/10.1016/j.iref.2024.05.044 2403 01 DE-LFER https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf 26 00 DE-206 Extreme risk fluctuations of one exchange rate can spill over to other exchange rates, and exploring the impact of economic policy uncertainty (EPU) on the spillover effect remains a limited but crucial issue. In addition, do different types of EPUs impact exchange-rate risk spillovers consistently, and at which frequencies are they the most significant? To answer this puzzle, categorical EPUs, namely fiscal policy uncertainty (FPU), monetary policy uncertainty (MPU), trade policy uncertainty (TPU), and exchange rate and capital account policy uncertainty (ECPU), are introduced to explore the role that each type of EPU plays in the RMB exchange rate extreme risk spillovers. Moreover, our investigation is also conducted in multiple time-frequency domains through the implementation of the wavelet transform approach. The results indicate that the MPU exerts the most significant impact on total spillovers, while the TPU exhibits the weakest impact. For the net spillovers of each RMB exchange rate, the HKD/CNY and the AUD/CNY are more sensitive to EPUs, particularly in the long-term time horizon. These findings provide potential implications for policymakers in terms of market stabilization and for investors with foreign currency assets.
allfieldsGer	10.1016/j.iref.2024.05.044 doi (DE-627)1896035000 (DE-599)KXP1896035000 DE-627 ger DE-627 rda eng Wang, Xinya verfasserin (DE-588)1153425181 (DE-627)1014835186 (DE-576)500220018 aut Extreme risk spillovers in RMB exchange rates the role of categorical economic policy uncertainties Xinya Wang 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Economic policy uncertainty (dpeaa)DE-206 Extreme risks (dpeaa)DE-206 RMB exchange rate (dpeaa)DE-206 Spillovers (dpeaa)DE-206 Time-frequency domains (dpeaa)DE-206 Enthalten in International review of economics & finance Amsterdam [u.a.] : Elsevier Science, 1992 94(2024) vom: Juli, Artikel-ID 103365, Seite 1-15 Online-Ressource (DE-627)324452098 (DE-600)2026509-8 (DE-576)259271977 1059-0560 nnns volume:94 year:2024 month:07 elocationid:103365 pages:1-15 https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf Verlag lizenzpflichtig https://doi.org/10.1016/j.iref.2024.05.044 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 94 2024 7 103365 1-15 26 01 0206 4555761197 x1z 23-07-24 2403 01 DE-LFER 4565480336 00 --%%-- --%%-- n --%%-- l01 12-08-24 2403 01 DE-LFER https://doi.org/10.1016/j.iref.2024.05.044 2403 01 DE-LFER https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf 26 00 DE-206 Extreme risk fluctuations of one exchange rate can spill over to other exchange rates, and exploring the impact of economic policy uncertainty (EPU) on the spillover effect remains a limited but crucial issue. In addition, do different types of EPUs impact exchange-rate risk spillovers consistently, and at which frequencies are they the most significant? To answer this puzzle, categorical EPUs, namely fiscal policy uncertainty (FPU), monetary policy uncertainty (MPU), trade policy uncertainty (TPU), and exchange rate and capital account policy uncertainty (ECPU), are introduced to explore the role that each type of EPU plays in the RMB exchange rate extreme risk spillovers. Moreover, our investigation is also conducted in multiple time-frequency domains through the implementation of the wavelet transform approach. The results indicate that the MPU exerts the most significant impact on total spillovers, while the TPU exhibits the weakest impact. For the net spillovers of each RMB exchange rate, the HKD/CNY and the AUD/CNY are more sensitive to EPUs, particularly in the long-term time horizon. These findings provide potential implications for policymakers in terms of market stabilization and for investors with foreign currency assets.
allfieldsSound	10.1016/j.iref.2024.05.044 doi (DE-627)1896035000 (DE-599)KXP1896035000 DE-627 ger DE-627 rda eng Wang, Xinya verfasserin (DE-588)1153425181 (DE-627)1014835186 (DE-576)500220018 aut Extreme risk spillovers in RMB exchange rates the role of categorical economic policy uncertainties Xinya Wang 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Economic policy uncertainty (dpeaa)DE-206 Extreme risks (dpeaa)DE-206 RMB exchange rate (dpeaa)DE-206 Spillovers (dpeaa)DE-206 Time-frequency domains (dpeaa)DE-206 Enthalten in International review of economics & finance Amsterdam [u.a.] : Elsevier Science, 1992 94(2024) vom: Juli, Artikel-ID 103365, Seite 1-15 Online-Ressource (DE-627)324452098 (DE-600)2026509-8 (DE-576)259271977 1059-0560 nnns volume:94 year:2024 month:07 elocationid:103365 pages:1-15 https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf Verlag lizenzpflichtig https://doi.org/10.1016/j.iref.2024.05.044 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 94 2024 7 103365 1-15 26 01 0206 4555761197 x1z 23-07-24 2403 01 DE-LFER 4565480336 00 --%%-- --%%-- n --%%-- l01 12-08-24 2403 01 DE-LFER https://doi.org/10.1016/j.iref.2024.05.044 2403 01 DE-LFER https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf 26 00 DE-206 Extreme risk fluctuations of one exchange rate can spill over to other exchange rates, and exploring the impact of economic policy uncertainty (EPU) on the spillover effect remains a limited but crucial issue. In addition, do different types of EPUs impact exchange-rate risk spillovers consistently, and at which frequencies are they the most significant? To answer this puzzle, categorical EPUs, namely fiscal policy uncertainty (FPU), monetary policy uncertainty (MPU), trade policy uncertainty (TPU), and exchange rate and capital account policy uncertainty (ECPU), are introduced to explore the role that each type of EPU plays in the RMB exchange rate extreme risk spillovers. Moreover, our investigation is also conducted in multiple time-frequency domains through the implementation of the wavelet transform approach. The results indicate that the MPU exerts the most significant impact on total spillovers, while the TPU exhibits the weakest impact. For the net spillovers of each RMB exchange rate, the HKD/CNY and the AUD/CNY are more sensitive to EPUs, particularly in the long-term time horizon. These findings provide potential implications for policymakers in terms of market stabilization and for investors with foreign currency assets.
language	English
source	Enthalten in International review of economics & finance 94(2024) vom: Juli, Artikel-ID 103365, Seite 1-15 volume:94 year:2024 month:07 elocationid:103365 pages:1-15
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topic_facet	Economic policy uncertainty Extreme risks RMB exchange rate Spillovers Time-frequency domains
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impact of economic policy uncertainty (EPU) on the spillover effect remains a limited but crucial issue. 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author	Wang, Xinya
spellingShingle	Wang, Xinya misc Economic policy uncertainty misc Extreme risks misc RMB exchange rate misc Spillovers misc Time-frequency domains Extreme risk spillovers in RMB exchange rates the role of categorical economic policy uncertainties
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topic_title	26 00 DE-206 Extreme risk fluctuations of one exchange rate can spill over to other exchange rates, and exploring the impact of economic policy uncertainty (EPU) on the spillover effect remains a limited but crucial issue. In addition, do different types of EPUs impact exchange-rate risk spillovers consistently, and at which frequencies are they the most significant? To answer this puzzle, categorical EPUs, namely fiscal policy uncertainty (FPU), monetary policy uncertainty (MPU), trade policy uncertainty (TPU), and exchange rate and capital account policy uncertainty (ECPU), are introduced to explore the role that each type of EPU plays in the RMB exchange rate extreme risk spillovers. Moreover, our investigation is also conducted in multiple time-frequency domains through the implementation of the wavelet transform approach. The results indicate that the MPU exerts the most significant impact on total spillovers, while the TPU exhibits the weakest impact. For the net spillovers of each RMB exchange rate, the HKD/CNY and the AUD/CNY are more sensitive to EPUs, particularly in the long-term time horizon. These findings provide potential implications for policymakers in terms of market stabilization and for investors with foreign currency assets Extreme risk spillovers in RMB exchange rates the role of categorical economic policy uncertainties Xinya Wang Economic policy uncertainty (dpeaa)DE-206 Extreme risks (dpeaa)DE-206 RMB exchange rate (dpeaa)DE-206 Spillovers (dpeaa)DE-206 Time-frequency domains (dpeaa)DE-206
topic	misc Economic policy uncertainty misc Extreme risks misc RMB exchange rate misc Spillovers misc Time-frequency domains
topic_unstemmed	misc Economic policy uncertainty misc Extreme risks misc RMB exchange rate misc Spillovers misc Time-frequency domains
topic_browse	misc Economic policy uncertainty misc Extreme risks misc RMB exchange rate misc Spillovers misc Time-frequency domains
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title	Extreme risk spillovers in RMB exchange rates the role of categorical economic policy uncertainties
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title_full	Extreme risk spillovers in RMB exchange rates the role of categorical economic policy uncertainties Xinya Wang
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title_sort	extreme risk spillovers in rmb exchange ratesthe role of categorical economic policy uncertainties
title_auth	Extreme risk spillovers in RMB exchange rates the role of categorical economic policy uncertainties
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title_short	Extreme risk spillovers in RMB exchange rates
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code="d">--%%--</subfield><subfield code="e">n</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">12-08-24</subfield></datafield><datafield tag="981" ind1=" " ind2=" "><subfield code="2">2403</subfield><subfield code="1">01</subfield><subfield code="x">DE-LFER</subfield><subfield code="r">https://doi.org/10.1016/j.iref.2024.05.044</subfield></datafield><datafield tag="981" ind1=" " ind2=" "><subfield code="2">2403</subfield><subfield code="1">01</subfield><subfield code="x">DE-LFER</subfield><subfield code="r">https://www.sciencedirect.com/science/article/pii/S1059056024003423/pdfft?md5=5db109a76541b00f1c70591d7618ce81&pid=1-s2.0-S1059056024003423-main.pdf</subfield></datafield><datafield tag="982" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">00</subfield><subfield code="x">DE-206</subfield><subfield code="b">Extreme risk fluctuations of one exchange rate can spill over to other exchange rates, and exploring the impact of economic policy uncertainty (EPU) on the spillover effect remains a limited but crucial issue. In addition, do different types of EPUs impact exchange-rate risk spillovers consistently, and at which frequencies are they the most significant? To answer this puzzle, categorical EPUs, namely fiscal policy uncertainty (FPU), monetary policy uncertainty (MPU), trade policy uncertainty (TPU), and exchange rate and capital account policy uncertainty (ECPU), are introduced to explore the role that each type of EPU plays in the RMB exchange rate extreme risk spillovers. Moreover, our investigation is also conducted in multiple time-frequency domains through the implementation of the wavelet transform approach. The results indicate that the MPU exerts the most significant impact on total spillovers, while the TPU exhibits the weakest impact. For the net spillovers of each RMB exchange rate, the HKD/CNY and the AUD/CNY are more sensitive to EPUs, particularly in the long-term time horizon. These findings provide potential implications for policymakers in terms of market stabilization and for investors with foreign currency assets.</subfield></datafield></record></collection>
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Extreme risk spillovers in RMB exchange rates : the role of categorical economic policy uncertainties

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