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Global Uncertainty and Exchange Rate Volatility

Year 2022, Issue: 37, 69 - 84, 29.12.2022
https://doi.org/10.26650/ekoist.2022.37.1112795

Abstract

This paper investigates the impact of global uncertainty on Turkey's exchange rate volatility via quantile regression approach. Using quantile regression approach, estimated uncertainty coefficients are allowed to differ over quantiles of the exchange rate volatility. The EGARCH model is the best fit for measuring exchange rate volatility due to the fact that exchange rate series exhibit “asymmetric volatility”. In this study we employed global economic policy uncertainty index- GEPU constructed by Baker et al. (2013) as a proxy of global uncertainty. Empirical results suggest that higher volatility of exchange rate is associated with a greater positive shock of GEPU. However, estimated parameters are statistically significant at lower exchange rate volatility since the CBRT intervenes the foreign exchange markets and restricts the excessive fluctuations in exchange rates to achieve financial stability.

References

  • Abid, A., & Rault, C. (2021). On The Exchange Rates Volatility and Economic Policy Uncertainty Nexus: A Panel Var Approach For Emerging Markets. Journal of Quantitative Economics, 19, 403–425.
  • Aghion, P., P., Bacchett, R. R., & Rogoff, K. (2009). Exchange Rate Volatility and Productivity Growth: The Role of Financial Development. Journal of Monetary Economics, 56(4), 494–513.
  • Al-Abri, A. (2013). Real Exchange Rate Volatility, Terms-Of-Trade Shocks, and Financial Integration in Primary-Commodity Exporting Economies. Economics Letters, 120(1), 126-129.
  • Alam, M.R. (2015). Economic Policy Uncertainty in the US: Does It Matter for Canada? Economics Bulletin, 35(4), 2725-2732.
  • Alam, M.R., & Istiak, K. (2020). Impact of US Policy Uncertainty on Mexico: Evidence from Linear and Nonlinear Tests. Quarterly Review of Economics & Finance, 77, 355-366.
  • Alexius, A. (2005). Productivity Shocks and Real Exchange Rates. Journal of Monetary Economics, 52(3), 555-566.
  • Bahmani‐Oskooee, M., & Hajilee, M. (2013). Exchange Rate Volatility and Its Impact on Domestic Investment. Research in Economics, 67(1), 1–12.
  • Baker, S., Bloom, N., & Davis, S. (2013). Measuring Economic Policy Uncertainty. Chicago Booth Paper No: 13-02
  • Balcilar, M., Gupta, R., Kim, W-J., & Kyei, C. (2015). The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach. Department of Economics, University of Pretoria, Working Paper No. 201586
  • Balcilar, M., Gupta, R., Kyei, C., & Wohar, M.E. (2016). Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in- Quantiles Test. Open Economies Review, 27, 229–250
  • Balcilar, M., Gupta, R., & Pierdzioch, C. (2015). Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test. Department of Economics, University of Pretoria, Working Paper No. 201592
  • Bartsch, Z. (2019). Economic Policy Uncertainty And Dollar-Pound Exchange Rate Return Volatility. Journal of International Money and Finance, 98:102067.
  • Belke, A., & Kaas, L. (2004). Exchange Rate Movements And Employment Growth: An OCA Assessment Of The CEE Economies. Empirica, 31: 247–80.
  • Black, F. (1976). Studies of Stock Price Volatility Changes. Proceedings of the American Statistical Association. Business and Economics Statistics, 177-181.
  • Bleaney, M., & Greenaway, D. (2001). The impact of terms of trade and real exchange rate volatility on investment and growth in Sub-Saharan Africa. Journal of Development Economics, 65, 491–500.
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307-327.
  • Broda, C., (2004). Terms of Trade and Exchange Rate Regimes in Developing Countries. Journal of International Economics 63, 31–58.
  • Bush, G., & Noria, G.L. (2021).Uncertainty and exchange rate volatility: Evidence from Mexico. International Review of Economics & Finance, 75, 704-722
  • Caldara, D., Fuentes-Albero, C., Gilchrist, S., & Zakrajšek E. (2016). The Macroeconomic Impact of Financial and Uncertainty Shocks. European Economic Review, 88, 185-207.
  • Calderón, C., & Kubota, M. (2018). Does Higher Openness Cause More Real Exchange Rate Volatility?, Journal of International Economics, 110, 176-204.
  • Cashin, P., Cespedes, L., & Sahay, R. (2004). Commodity currencies and the real exchange rate. Journal of Development Economics, 75, 239–268.
  • Colombo, V. (2013). Economic Policy Uncertainty in the US: Does it Matter for the Euro Area?. Economics Letters, 121(1), 39–42.
  • De Gregorio, J., & Wolf, H. (1994). Terms of Trade, Productivity, And The Real Exchange Rate. NBER Working Paper No. 4807.
  • Demirgil, H. (2011). Politik İstikrarsızlık, Belirsizlik ve Makroekonomi: Türkiye Örneği (1970- 2006). Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 31(2) , 123-144 .
  • Devereux, M.B., & Lane, P.R. (2003).Understanding Bilateral Exchange Rate Volatility. Journal of International Economics, 60, 109–132
  • Dollar, D. (1992). Outward Oriented Developing Countries Really Do Grow More Rapidly. Economic Development and Cultural Change, 4, 523–54.
  • Dominguez, K. M. (1998). Central Bank İntervention And Exchange Rate Volatility. Journal of International Money and Finance, 17(1), 161-190.
  • Dong, H., Liu, Y., & Chang, J. (2019). The Heterogeneous Linkage Of Economic Policy Uncertainty And Oil Return Risks. Green Finance, 1(1), 46–66.
  • Fang, L., Chen, B., Yu, H., & Qian, Y. (2018). The Importance Of Global Economic Policy Uncertainty in Predicting Gold Futures Market Volatility: A Garch-Midas Approach. Journal of Future Markets, 38 (3), 413–422.
  • Feldmann, H. (2011). The Unemployment Effect Of Exchange Rate Volatility in Industrial Countries. Economics Letters, 111, 268–71.
  • Gupta, R., Lahiani, A., Lee, CC., & Wohar, M. (2018). Asymmetric Dynamics Of Insurance Premium: The Impacts Of Output And Economic Policy Uncertainty. Empirical Economics, 57, 1959– 1978.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity With Estimates Of The Variance Of United Kingdom Inflation. Econometrica, 50(4), 987–1007.
  • Ferson, W.E., & Harvey, C.R., (1991). The Variation Of Economic Risk Premiums. Journal of Political Economy, 99, 385–415.
  • Ghosh, S. (2011). Examining Crude Oil Price – Exchange Rate Nexus For India During the Period of Extreme Oil Price Volatility. Applied Energy, 88(5), 1886–1889.
  • Ghosh, Atish R. & Gulde, A-M., Ostry, J. D., & Wolf, H. C. (1997). Does the Nominal Exchange Rate Regime Matter? NBER Working Paper No. w5874.
  • Guney, P.O. (2020), Ekonomik Politika Belirsizliği ve Döviz Kuru Oynaklığı, Bankacılar Dergisi, 31(114), 3-16.
  • Hall, S., Hondroyiannis, G., Swamy, P.A.V.B., Tavlas, G. & Ulan, M. (2010). Exchange-Rate Volatility and Export Performance: Do Emerging Market Economies Resemble Industrial Countries or Other Developing Countries? Economic Modelling, 27, 1514–1521.
  • Hau, H. (2002). Real Exchange Rate Volatility and Economic Openness: Theory and Evidence. Journal of Money, Credit and Banking, 34(3), 611–630.
  • Hausmann, R., Panizza, U., & Rigobon, R. (2006). The Long-Run Volatility Puzzle of the Real Exchange Rate, Journal of International Money and Finance, 25, 93-124
  • Hsieh, D. A. (1989). Modeling Heteroscedasticity In Daily Exchange Rates. Journal of Business and Economic Statistics, 7(3), 307-317.
  • Huchet-Bourdon, M. & Korinek, J. (2011). To What Extent Do Exchange Rates And Their Volatility Affect Trade? OECD Trade Policy Papers, No. 119, OECD Publishing, Paris.
  • Istiak, K. and A. Serletis (2018). Economic Policy Uncertainty and Real Output: Evidence from the G7 Countries. Applied Economics, 50(39), 4222-4233.
  • Koenker, R. & Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
  • Krol, R. (2014). Economic Policy Uncertainty and Exchange Rate Volatility. International Finance, 17(2), 241–56.
  • Leblang, D., & Bernhard, W. (2006). Parliamentary Politics and Foreign Exchange Markets: The World According to GARCH, International Studies Quarterly, 50(1), 69–92.
  • Leduc, S. & Liu, Z. (2016). Uncertainty Shocks Are Aggregate Demand Shocks. Journal of Monetary Economics, 82, 20-35.
  • Li, Z., Dong, H., Huang, Z., & Failler, P. (2018). Asymmetric Effects On Risks Of Virtual Financial Assets (VFAs) In Different Regimes: A Case Of Bitcoin. Quantitative Finance and Economics, 2(4), 860–883.
  • Li, Z., & Zhong. J. (2020). Impact Of Economic Policy Uncertainty Shocks On China’s Financial Conditions. Finance Research Letters, 35:101303.
  • Liming C., Ziqing, D., & Zhihao H. (2020). Impact Of Economic Policy Uncertainty On Exchange Rate Volatility Of China. Finance Research Letters, 32: 101266
  • Mandelbrot, B. B. (1963). The Variation Of Certain Speculative Prices. Journal of Business, 36(4), 394-419.
  • Mueller, P., Tahbaz-Salehi, A., & Vedolin, A. (2017). Exchange Rates And Monetary Policy Uncertainty. Journal of Finance 72, 1213–1252.
  • Narayan, P. K., Narayan, S., & Prasad, A. (2008). Understanding the Oil Price-Exchange Rate Nexus for The Fiji Islands. Energy Economics, 30(5), 2686-2696.
  • Nelson, D. B. (1991). Conditional Heteroscedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
  • Nodari, G. (2014). Financial Regulation Policy Uncertainty and Credit Spreads in the US. Journal of Macroeceonomics, 41, 122-132
  • Obstfeld, M., & Rogoff, K.S. (1995). Exchange Rate Dynamics Redux. Journal of Political Econnomics, 103(3), 624-660
  • Obstfeld, M., & Rogoff, K.S. (1996). Foundations of International Macroeconomics. The MIT Press, Cambridge, MA
  • Phan, D.H.B., Sharma, S.S., & Tran, V.T. (2018). Can Economic Policy Uncertainty Predict Stock Returns? Global Evidence. Journal of International Financial Markets, Institutions and Money 55, 134-150.
  • Schnabl, G. (2008). Exchange Rate Volatility And Growth İn Small Open Economies At The EMU Periphery, Economic Systems, 32(1), 70-91.
  • Shapiro, S. S., & Wilk, M. B. (1965). An Analysis Of Variance Test For Normality (Complete Samples). Biometrika, 52, 591–61
  • Sutherland, A. (1996) Financial Market Integration And Macroeconomic Volatility, Scandinavian Journal of Economics, 98 (4), 521-539.
  • Wang, K.L., & Barrett, C.B. (2007). Estimating The Effects of Exchange Rate Volatility on Export Volumes. Journal of Agricultural and Resource Economics, 32(2), 225-255.
  • Wang, P., Li, Y., & Wu, S. (2022). Time-varying Effects of U.S. Economic Policy Uncertainty on Exchange Rate Return and Volatility in China. Emerging Markets Finance and Trade, 58(7), 1807-1820.
  • Westerfield, J. (1977). An Examination Of Foreign Exchange Risk Under Fixed And Floating Rate Regimes. Journal of International Economics, 7(2), 181-200.
  • Zhou, Z., Fu, Z., Jiang, Y., Zeng, X., & Lin, L. (2020). Can Economic Policy Uncertainty Predict Exchange Rate Volatility? New Evidence From The GARCH-MIDAS Model, Finance Research Letters, 34:101258
Year 2022, Issue: 37, 69 - 84, 29.12.2022
https://doi.org/10.26650/ekoist.2022.37.1112795

Abstract

References

  • Abid, A., & Rault, C. (2021). On The Exchange Rates Volatility and Economic Policy Uncertainty Nexus: A Panel Var Approach For Emerging Markets. Journal of Quantitative Economics, 19, 403–425.
  • Aghion, P., P., Bacchett, R. R., & Rogoff, K. (2009). Exchange Rate Volatility and Productivity Growth: The Role of Financial Development. Journal of Monetary Economics, 56(4), 494–513.
  • Al-Abri, A. (2013). Real Exchange Rate Volatility, Terms-Of-Trade Shocks, and Financial Integration in Primary-Commodity Exporting Economies. Economics Letters, 120(1), 126-129.
  • Alam, M.R. (2015). Economic Policy Uncertainty in the US: Does It Matter for Canada? Economics Bulletin, 35(4), 2725-2732.
  • Alam, M.R., & Istiak, K. (2020). Impact of US Policy Uncertainty on Mexico: Evidence from Linear and Nonlinear Tests. Quarterly Review of Economics & Finance, 77, 355-366.
  • Alexius, A. (2005). Productivity Shocks and Real Exchange Rates. Journal of Monetary Economics, 52(3), 555-566.
  • Bahmani‐Oskooee, M., & Hajilee, M. (2013). Exchange Rate Volatility and Its Impact on Domestic Investment. Research in Economics, 67(1), 1–12.
  • Baker, S., Bloom, N., & Davis, S. (2013). Measuring Economic Policy Uncertainty. Chicago Booth Paper No: 13-02
  • Balcilar, M., Gupta, R., Kim, W-J., & Kyei, C. (2015). The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach. Department of Economics, University of Pretoria, Working Paper No. 201586
  • Balcilar, M., Gupta, R., Kyei, C., & Wohar, M.E. (2016). Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in- Quantiles Test. Open Economies Review, 27, 229–250
  • Balcilar, M., Gupta, R., & Pierdzioch, C. (2015). Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test. Department of Economics, University of Pretoria, Working Paper No. 201592
  • Bartsch, Z. (2019). Economic Policy Uncertainty And Dollar-Pound Exchange Rate Return Volatility. Journal of International Money and Finance, 98:102067.
  • Belke, A., & Kaas, L. (2004). Exchange Rate Movements And Employment Growth: An OCA Assessment Of The CEE Economies. Empirica, 31: 247–80.
  • Black, F. (1976). Studies of Stock Price Volatility Changes. Proceedings of the American Statistical Association. Business and Economics Statistics, 177-181.
  • Bleaney, M., & Greenaway, D. (2001). The impact of terms of trade and real exchange rate volatility on investment and growth in Sub-Saharan Africa. Journal of Development Economics, 65, 491–500.
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307-327.
  • Broda, C., (2004). Terms of Trade and Exchange Rate Regimes in Developing Countries. Journal of International Economics 63, 31–58.
  • Bush, G., & Noria, G.L. (2021).Uncertainty and exchange rate volatility: Evidence from Mexico. International Review of Economics & Finance, 75, 704-722
  • Caldara, D., Fuentes-Albero, C., Gilchrist, S., & Zakrajšek E. (2016). The Macroeconomic Impact of Financial and Uncertainty Shocks. European Economic Review, 88, 185-207.
  • Calderón, C., & Kubota, M. (2018). Does Higher Openness Cause More Real Exchange Rate Volatility?, Journal of International Economics, 110, 176-204.
  • Cashin, P., Cespedes, L., & Sahay, R. (2004). Commodity currencies and the real exchange rate. Journal of Development Economics, 75, 239–268.
  • Colombo, V. (2013). Economic Policy Uncertainty in the US: Does it Matter for the Euro Area?. Economics Letters, 121(1), 39–42.
  • De Gregorio, J., & Wolf, H. (1994). Terms of Trade, Productivity, And The Real Exchange Rate. NBER Working Paper No. 4807.
  • Demirgil, H. (2011). Politik İstikrarsızlık, Belirsizlik ve Makroekonomi: Türkiye Örneği (1970- 2006). Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 31(2) , 123-144 .
  • Devereux, M.B., & Lane, P.R. (2003).Understanding Bilateral Exchange Rate Volatility. Journal of International Economics, 60, 109–132
  • Dollar, D. (1992). Outward Oriented Developing Countries Really Do Grow More Rapidly. Economic Development and Cultural Change, 4, 523–54.
  • Dominguez, K. M. (1998). Central Bank İntervention And Exchange Rate Volatility. Journal of International Money and Finance, 17(1), 161-190.
  • Dong, H., Liu, Y., & Chang, J. (2019). The Heterogeneous Linkage Of Economic Policy Uncertainty And Oil Return Risks. Green Finance, 1(1), 46–66.
  • Fang, L., Chen, B., Yu, H., & Qian, Y. (2018). The Importance Of Global Economic Policy Uncertainty in Predicting Gold Futures Market Volatility: A Garch-Midas Approach. Journal of Future Markets, 38 (3), 413–422.
  • Feldmann, H. (2011). The Unemployment Effect Of Exchange Rate Volatility in Industrial Countries. Economics Letters, 111, 268–71.
  • Gupta, R., Lahiani, A., Lee, CC., & Wohar, M. (2018). Asymmetric Dynamics Of Insurance Premium: The Impacts Of Output And Economic Policy Uncertainty. Empirical Economics, 57, 1959– 1978.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity With Estimates Of The Variance Of United Kingdom Inflation. Econometrica, 50(4), 987–1007.
  • Ferson, W.E., & Harvey, C.R., (1991). The Variation Of Economic Risk Premiums. Journal of Political Economy, 99, 385–415.
  • Ghosh, S. (2011). Examining Crude Oil Price – Exchange Rate Nexus For India During the Period of Extreme Oil Price Volatility. Applied Energy, 88(5), 1886–1889.
  • Ghosh, Atish R. & Gulde, A-M., Ostry, J. D., & Wolf, H. C. (1997). Does the Nominal Exchange Rate Regime Matter? NBER Working Paper No. w5874.
  • Guney, P.O. (2020), Ekonomik Politika Belirsizliği ve Döviz Kuru Oynaklığı, Bankacılar Dergisi, 31(114), 3-16.
  • Hall, S., Hondroyiannis, G., Swamy, P.A.V.B., Tavlas, G. & Ulan, M. (2010). Exchange-Rate Volatility and Export Performance: Do Emerging Market Economies Resemble Industrial Countries or Other Developing Countries? Economic Modelling, 27, 1514–1521.
  • Hau, H. (2002). Real Exchange Rate Volatility and Economic Openness: Theory and Evidence. Journal of Money, Credit and Banking, 34(3), 611–630.
  • Hausmann, R., Panizza, U., & Rigobon, R. (2006). The Long-Run Volatility Puzzle of the Real Exchange Rate, Journal of International Money and Finance, 25, 93-124
  • Hsieh, D. A. (1989). Modeling Heteroscedasticity In Daily Exchange Rates. Journal of Business and Economic Statistics, 7(3), 307-317.
  • Huchet-Bourdon, M. & Korinek, J. (2011). To What Extent Do Exchange Rates And Their Volatility Affect Trade? OECD Trade Policy Papers, No. 119, OECD Publishing, Paris.
  • Istiak, K. and A. Serletis (2018). Economic Policy Uncertainty and Real Output: Evidence from the G7 Countries. Applied Economics, 50(39), 4222-4233.
  • Koenker, R. & Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
  • Krol, R. (2014). Economic Policy Uncertainty and Exchange Rate Volatility. International Finance, 17(2), 241–56.
  • Leblang, D., & Bernhard, W. (2006). Parliamentary Politics and Foreign Exchange Markets: The World According to GARCH, International Studies Quarterly, 50(1), 69–92.
  • Leduc, S. & Liu, Z. (2016). Uncertainty Shocks Are Aggregate Demand Shocks. Journal of Monetary Economics, 82, 20-35.
  • Li, Z., Dong, H., Huang, Z., & Failler, P. (2018). Asymmetric Effects On Risks Of Virtual Financial Assets (VFAs) In Different Regimes: A Case Of Bitcoin. Quantitative Finance and Economics, 2(4), 860–883.
  • Li, Z., & Zhong. J. (2020). Impact Of Economic Policy Uncertainty Shocks On China’s Financial Conditions. Finance Research Letters, 35:101303.
  • Liming C., Ziqing, D., & Zhihao H. (2020). Impact Of Economic Policy Uncertainty On Exchange Rate Volatility Of China. Finance Research Letters, 32: 101266
  • Mandelbrot, B. B. (1963). The Variation Of Certain Speculative Prices. Journal of Business, 36(4), 394-419.
  • Mueller, P., Tahbaz-Salehi, A., & Vedolin, A. (2017). Exchange Rates And Monetary Policy Uncertainty. Journal of Finance 72, 1213–1252.
  • Narayan, P. K., Narayan, S., & Prasad, A. (2008). Understanding the Oil Price-Exchange Rate Nexus for The Fiji Islands. Energy Economics, 30(5), 2686-2696.
  • Nelson, D. B. (1991). Conditional Heteroscedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
  • Nodari, G. (2014). Financial Regulation Policy Uncertainty and Credit Spreads in the US. Journal of Macroeceonomics, 41, 122-132
  • Obstfeld, M., & Rogoff, K.S. (1995). Exchange Rate Dynamics Redux. Journal of Political Econnomics, 103(3), 624-660
  • Obstfeld, M., & Rogoff, K.S. (1996). Foundations of International Macroeconomics. The MIT Press, Cambridge, MA
  • Phan, D.H.B., Sharma, S.S., & Tran, V.T. (2018). Can Economic Policy Uncertainty Predict Stock Returns? Global Evidence. Journal of International Financial Markets, Institutions and Money 55, 134-150.
  • Schnabl, G. (2008). Exchange Rate Volatility And Growth İn Small Open Economies At The EMU Periphery, Economic Systems, 32(1), 70-91.
  • Shapiro, S. S., & Wilk, M. B. (1965). An Analysis Of Variance Test For Normality (Complete Samples). Biometrika, 52, 591–61
  • Sutherland, A. (1996) Financial Market Integration And Macroeconomic Volatility, Scandinavian Journal of Economics, 98 (4), 521-539.
  • Wang, K.L., & Barrett, C.B. (2007). Estimating The Effects of Exchange Rate Volatility on Export Volumes. Journal of Agricultural and Resource Economics, 32(2), 225-255.
  • Wang, P., Li, Y., & Wu, S. (2022). Time-varying Effects of U.S. Economic Policy Uncertainty on Exchange Rate Return and Volatility in China. Emerging Markets Finance and Trade, 58(7), 1807-1820.
  • Westerfield, J. (1977). An Examination Of Foreign Exchange Risk Under Fixed And Floating Rate Regimes. Journal of International Economics, 7(2), 181-200.
  • Zhou, Z., Fu, Z., Jiang, Y., Zeng, X., & Lin, L. (2020). Can Economic Policy Uncertainty Predict Exchange Rate Volatility? New Evidence From The GARCH-MIDAS Model, Finance Research Letters, 34:101258
There are 64 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Oğuz Tümtürk 0000-0002-1935-0858

Publication Date December 29, 2022
Submission Date May 7, 2022
Published in Issue Year 2022 Issue: 37

Cite

APA Tümtürk, O. (2022). Global Uncertainty and Exchange Rate Volatility. EKOIST Journal of Econometrics and Statistics(37), 69-84. https://doi.org/10.26650/ekoist.2022.37.1112795