A Study of the Impact of Economic Policy Uncertainty in the US and China on the Volatility of the RMB Exchange Rate

Abstract

This paper examines both theoretically and empirically how RMB exchange rate volatility will be affected by China and US economic policy uncertainty. It finds that RMB exchange rate volatility increases when economic policy uncertainty increases in China and the US; Besides, market uncertainty has a significant positive impact on RMB exchange rate volatility. The findings of this paper can provide useful references for financial regulation and forecasting the role of policy.