TY - JOUR AU - El Abed, Riadh AU - Mighri, Zouheir AU - Hamouda, Abderrazek Ben PY - 2022/01/11 Y2 - 2024/03/29 TI - Does Economic Policy Uncertainty Affect Exchange Rate in China and Japan? Evidence from Threshold Cointegration with Asymmetric Adjustment JF - International Journal of Economics and Financial Issues JA - IJEFI VL - 12 IS - 1 SE - Articles DO - 10.32479/ijefi.11973 UR - https://econjournals.com/index.php/ijefi/article/view/11973 SP - 28-36 AB - <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> ER -