Impact of economic policy uncertainty on exchange rate volatility of China

This study investigates the impact of economic policy uncertainty (EPU) on China's exchange rate volatility from December 2001 to November 2018. Using the quantile regression, our results show that the impact of EPU on exchange rate volatility in China exhibits asymmetry as well as heterogeneity in different markets. The EPU for China impacts positively and significantly on all quantiles volatilities of exchange rates. Furthermore, we observe...