This paper examines the spillover effect of economic policy uncertainty (EPU) on real effective exchange rate volatility in a sample of 23 countries. We use a multivariate quantile model to measure EPU spillovers for each country and find that EPU spillovers have a significant and positive effect on subsequent exchange rate volatility in both developed and emerging markets. The spillover effect is stronger in emerging markets compared to developed markets. EPU spillovers generated from developed markets are larger than those originated from emerging markets. The EPU spillover effect is particularly strong during the period of global financial crisis. The positive relationship between EPU spillovers and exchange rate volatility remains significant in various robustness checks.

中文翻译：

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EPU 溢出效应和汇率波动


本文研究了 23 个国家样本中经济政策不确定性 （EPU） 对实际有效汇率波动率的溢出效应。我们使用多变量分位数模型来衡量每个国家的 EPU 溢出效应，发现 EPU 溢出效应对发达市场和新兴市场的后续汇率波动都有显著的积极影响。与发达市场相比，新兴市场的溢出效应更强。发达市场产生的 EPU 溢出效应大于新兴市场产生的 EPU 溢出效应。EPU 溢出效应在全球金融危机期间尤为强烈。EPU 溢出效应与汇率波动性之间的正相关关系在各种稳健性检查中仍然显著。