IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v97y2025ics1057521924007567.html
   My bibliography  Save this article

EPU spillovers and exchange rate volatility

Author

Listed:
  • Gong, Yuting
  • He, Zhongzhi
  • Xue, Wenjun

Abstract

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.

Suggested Citation

  • Gong, Yuting & He, Zhongzhi & Xue, Wenjun, 2025. "EPU spillovers and exchange rate volatility," International Review of Financial Analysis, Elsevier, vol. 97(C).
  • Handle: RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007567
    DOI: 10.1016/j.irfa.2024.103824
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1057521924007567
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.irfa.2024.103824?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    EPU spillovers; Multivariate quantile model; Exchange rate volatility;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007567. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.