Assessing the Impacts of Economic Policy Uncertainty of the US on the Exchange Rates and Stock Returns of Korea, Mexico, Poland and Russia

Ozcelebi O., İzgi M. T.

EASTERN EUROPEAN ECONOMICS, vol.61, no.1, pp.1-22, 2023 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 61 Issue: 1
  • Publication Date: 2023
  • Doi Number: 10.1080/00128775.2022.2107937
  • Journal Name: EASTERN EUROPEAN ECONOMICS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, Periodicals Index Online, ABI/INFORM, American Bibliography of Slavic & Eastern European Studies (ABSEES), Business Source Elite, Business Source Premier, EconLit, Geobase, PAIS International, Public Affairs Index
  • Page Numbers: pp.1-22
  • Keywords: Economic policy uncertainty, exchange rate, stock returns, Time-varying bootstrap causality, Quantile-based analysis, EQUITY MARKETS, VOLATILITY, CAUSALITY, COUNTRIES, STRESS
  • Istanbul University Affiliated: Yes

Abstract

This study examines the effects of the economic policy uncertainty (EPU) index of the US on the exchange rates and stock returns of Korea, Mexico, Poland, and Russia. A time-varying causality test showed that the impacts of EPU of the US on the exchange and stock market of emerging countries could be affected by regime changes. A quantile regression model suggested that the effect of the increase/decrease in the EPU of the US may affect financial variables, while it was indicated that effects of the EPU of the US on the exchange rates and stock returns are asymmetrical.