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

IF 1.3 4区经济学 Q3 ECONOMICS

Eastern European Economics Pub Date : 2022-08-03 DOI:10.1080/00128775.2022.2107937

Oguzhan Ozcelebi, Mehmet Tevfik Izgi

引用次数: 2

Abstract

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.

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评估美国经济政策的不确定性对韩国、墨西哥、波兰和俄罗斯的汇率和股票收益的影响

摘要本研究考察了美国经济政策不确定性(EPU)指数对韩国、墨西哥、波兰和俄罗斯汇率和股票收益的影响。一项时变因果检验表明，美国EPU对新兴国家交易所和股票市场的影响会受到制度变化的影响。分位数回归模型表明，美国EPU的增减效应可能影响金融变量，而美国EPU对汇率和股票收益的影响是不对称的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Eastern European Economics ECONOMICS-

CiteScore

2.20

自引率

9.10%

发文量

期刊介绍： Eastern European Economics publishes original research on the newly emerging economies of Central and Eastern Europe, with coverage of the ongoing processes of transition to market economics in different countries, their integration into the broader European and global economies, and the ramifications of the 2008-9 financial crisis. An introduction by the journal"s editor adds context and expert insights on the articles presented in each issue.