Are exchange rates more volatile with greater uncertainty? Evidence from the php/usd exchange rate using GARCH-MIDAS models
| dc.contributor.advisor | Epetia, Ma. Christina F. | |
| dc.contributor.author | Abreu, Marvin Kyle M. | |
| dc.date.accessioned | 2024-07-30T06:28:06Z | |
| dc.date.available | 2024-07-30T06:28:06Z | |
| dc.date.issued | 2021-01-21 | |
| dc.description.abstract | 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 exchange rate volatility. The results reveal that more policy-related economic uncertainty leads to decreased volatility in the long run, with uncertainty in the US having a greater effect than uncertainty in the Philippines. The counter intuitive outcomes may spring from the fact that uncertainty relates to the search for more information, which may exhibit a long-memory process where economic agents form beliefs that lead them to risk aversion. This study also separates market-related uncertainty from policy-related uncertainty using a regression method, where results show that market-related uncertainty does not significantly affect exchange rate volatility in the long run. | |
| dc.identifier.uri | https://selib.upd.edu.ph/etdir/handle/123456789/173 | |
| dc.language.iso | en | |
| dc.title | Are exchange rates more volatile with greater uncertainty? Evidence from the php/usd exchange rate using GARCH-MIDAS models | |
| dc.type | Thesis |