National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71771082, 71801091]; Hunan Provincial Natural Science Foundation of ChinaNatural Science Foundation of Hunan Province [2017JJ1012]
机构署名：
本校为通讯机构
院系归属：
经济学院
摘要：
This paper investigates the impact of relative economic policy uncertainty between China and the United States (the Sino-US EPU ratio) on the Chinese exchange rate volatility by employing a GARCH-MIDAS model. Moreover, we compare the out-of-sample volatility forecasting performance of the GARCH-MIDAS model with that of traditional GARCH-type models. The empirical results suggest that: (i) the Sino-US EPU ratio has a positive impact on the long-term volatility of the Chinese exchange rate, (ii) the GARCH-MIDAS m...
