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

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...

Deskribapen osoa

Xehetasun bibliografikoak
Egile nagusia: Abreu, Marvin Kyle M. (Egilea)
Beste egile batzuk: Epetia, Ma. Christina (thesis adviser.), Gonzales, Margarita (thesis adviser.)
Formatua: Thesis
Hizkuntza:English
Gaiak:
Foreign exchange rates.
Uncertainty > Economic aspects.