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Papers by lavinia daniela

Research paper thumbnail of How Does Economic Policy Uncertainty Effect Signaling Exchange Rate in Japan?

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2019

In this paper, we apply the bootstrap rolling window sub-sample test to examine the causal links ... more In this paper, we apply the bootstrap rolling window sub-sample test to examine the causal links of the exchange rate (ER) and the economic policy uncertainty (EPU) in Japan. This method provides more accurate evidence of a relationship between these two variables considering the structural changes. The empirical results show that a positive or negative relationship between the EPU and the ER exist. This finding is basically consistent with the Expected Value Model in most periods. Specifically, when the Yen is depreciating, the EPU increases accordingly and vice versa. In addition, the Yen appreciates when the EPU is increasing in crisis periods, which results from the Yen's risk-off attribute. The findings illustrate that the Yen is an advantageous investing choice as a hedge against depreciation in the crisis stage. Japanese authorities could intervene with the ER to influence the public's expectation or the EPU to smoothly stabilize the economy.

Research paper thumbnail of How Does Economic Policy Uncertainty Effect Signaling Exchange Rate in Japan?

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2019

In this paper, we apply the bootstrap rolling window sub-sample test to examine the causal links ... more In this paper, we apply the bootstrap rolling window sub-sample test to examine the causal links of the exchange rate (ER) and the economic policy uncertainty (EPU) in Japan. This method provides more accurate evidence of a relationship between these two variables considering the structural changes. The empirical results show that a positive or negative relationship between the EPU and the ER exist. This finding is basically consistent with the Expected Value Model in most periods. Specifically, when the Yen is depreciating, the EPU increases accordingly and vice versa. In addition, the Yen appreciates when the EPU is increasing in crisis periods, which results from the Yen's risk-off attribute. The findings illustrate that the Yen is an advantageous investing choice as a hedge against depreciation in the crisis stage. Japanese authorities could intervene with the ER to influence the public's expectation or the EPU to smoothly stabilize the economy.

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