Impacts of Economic Policy Uncertainty in Foreign Exchange Markets(2/3)

Project Details

Description

In times of high economic uncertainty about fiscal, regulatory, and monetary policies,rational agents would behave more conservatively andreact to increase precautionary saving and decrease real investment,and rebalance portfolios away from risky assets towards safe assets.This project aims to study three themes about how foreign exchange (FX) traders reactto heightened economic uncertainty in currency pricing, trading activities, andthe response to monetary policy news. The first sub-project explores if uncertainty isor is not priced into currency excess returns.We are interested to understand how return dynamicson risky currencies differ from those of safe currenciesin the face of variations in economic uncertainty.The second sub-project investigates how informational efficiency varies with the variation ineconomic uncertainty. The third sub-project studies if the reaction ofcurrency returns, trading volume, and volatility to U.S. monetary policy news change with global economic uncertainty.
StatusFinished
Effective start/end date1/08/1931/07/20

UN Sustainable Development Goals

In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This project contributes towards the following SDG(s):

  • SDG 8 - Decent Work and Economic Growth
  • SDG 13 - Climate Action
  • SDG 17 - Partnerships for the Goals

Keywords

  • Economic Policy Uncertainty
  • Currency Risk Premium
  • Informational Efficiency
  • Trading Volume

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