Next Article in Journal
Evolutionary Processes in Quantum Decision Theory
Previous Article in Journal
Stealthy Secret Key Generation
Open AccessArticle

Information Flow Analysis between EPU and Other Financial Time Series

School of Economics and Commerce, South China University of Technology, Guangzhou 510006, China
Entropy 2020, 22(6), 683; https://doi.org/10.3390/e22060683
Received: 6 May 2020 / Revised: 12 June 2020 / Accepted: 16 June 2020 / Published: 18 June 2020
(This article belongs to the Special Issue Processes with Memory in Natural and Social Sciences)
We investigate the strength and direction of information flow among economic policy uncertainty (EPU), US imports and exports to China, and the CNY/US exchange rate by using the novel concept of effective transfer entropy (ETE) with a sliding window methodology. We verify that this new method can capture dynamic orders effectively by validating them with the linear transfer entropy (TE) and Granger causality methods. Analysis shows that since 2016, US economic policy has contributed substantially to China-US bilateral trade and that China is making passive adjustments based on this trade volume. Unlike trade market conditions, China’s economic policy has significantly influenced the exchange rate fluctuation since 2016, which has, in turn, affected US economic policy. View Full-Text
Keywords: EPU; transfer entropy; exchange rate EPU; transfer entropy; exchange rate
Show Figures

Figure 1

MDPI and ACS Style

Yao, C.-Z. Information Flow Analysis between EPU and Other Financial Time Series. Entropy 2020, 22, 683.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop