Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective. (30th January 2021)

• Record Type: Journal Article
• Authors: Zhao, Ruwei; Cui, Yian
• Other Names: Consolo Giancarlo Academic Editor.
• Is Part Of: Discrete dynamics in nature and society. Volume 2021(2021)
• Publication Date: 2021-01-30
• Subjects: System analysis -- Periodicals; Dynamics -- Periodicals; Chaotic behavior in systems -- Periodicals; Differentiable dynamical systems -- Periodicals; 003.05
• DOI: 10.1155/2021/6668912
• Languages: English
• ISSNs: 1026-0226

Abstract

Abstract : In this paper, we employ the multifractal detrended cross-correlation analysis (MF-DCCA) as the measurement instrument for the dynamic cross-correlation inspection between US economic policy uncertainty (EPU) index and US dollar exchange rate return (Ret). By calculating the cross-correlation statistics, we find mild acceptance of cross-correlation between EPU and Ret qualitatively. With further application of MF-DCCA methodology, we find strong power law cross-correlation existence within all scaling orders. Also, apparent persistence of cross-correlation has been discovered with significant Hurst exponents of all orders. Besides, we find that long-term cross-correlation demonstrates more persistence and higher degree of multifractality than those in the short term. Finally, we utilize the rolling window and binominal measurement analysis as revisits of the model. The results are consistent with model statements.