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...

詳細記述

書誌詳細
第一著者: Abreu, Marvin Kyle M. (著者)
その他の著者: Epetia, Ma. Christina (thesis adviser.), Gonzales, Margarita (thesis adviser.)
フォーマット: 学位論文
言語:English
主題:
Foreign exchange rates.
Uncertainty > Economic aspects.