Are exchange rates more volatile with greater uncertainty? evidence from the PHP/USD exchange rate using GARCH-MIDAS models

This study explores the relationship between policy-related economic uncertainty and the volatility of the PHP/USD exchange rate returns. The study uses data constructed from Google Trends to measure uncertainty and employs GARCH-MIDAS models to differentiate the short-run and long-run components of...

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Detalles Bibliográficos

Autor principal:	Abreu, Marvin Kyle M. (Autor)
Otros Autores:	Epetia, Ma. Christina (thesis adviser.), Gonzales, Margarita (thesis adviser.)
Formato:	Tesis
Lenguaje:	English
Materias:	Foreign exchange rates. Uncertainty > Economic aspects.