@article{El Abed_Mighri_Hamouda_2022, title={Does Economic Policy Uncertainty Affect Exchange Rate in China and Japan? Evidence from Threshold Cointegration with Asymmetric Adjustment}, volume={12}, url={https://econjournals.com/index.php/ijefi/article/view/11973}, DOI={10.32479/ijefi.11973}, abstractNote={<p>In this article, we estimate the links between nominal exchange rates (JPY/USD and CNY/USD) and economic policy uncertainty (EPU) in China and Japan by employing monthly data during the period span from January 1997 to September 2020. The threshold cointegration approach focus in TAR, M-TAR, C-TAR and C-MTAR is used. Results indicate the evidence of asymmetric effect in the adjustment process to equilibrium and the M-TAR is the best model to detect threshold effect for the (CNY/USD-CNYEPU) pair and the C-TAR is the best model to detect threshold effect for the (JPY/USD-JPYEPU) pair.</p> <p> </p>}, number={1}, journal={International Journal of Economics and Financial Issues}, author={El Abed, Riadh and Mighri, Zouheir and Hamouda, Abderrazek Ben}, year={2022}, month={Jan.}, pages={28–36} }