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

Author

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  • Oguzhan Ozcelebi
  • Mehmet Tevfik Izgi

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.

Suggested Citation

  • Oguzhan Ozcelebi & Mehmet Tevfik Izgi, 2023. "Assessing the Impacts of Economic Policy Uncertainty of the US on the Exchange Rates and Stock Returns of Korea, Mexico, Poland and Russia," Eastern European Economics, Taylor & Francis Journals, vol. 61(1), pages 1-22, January.
    • Handle: RePEc:mes:eaeuec:v:61:y:2023:i:1:p:1-22
    DOI: 10.1080/00128775.2022.2107937
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    Citations

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    Cited by:

    1. NEIFAR, MALIKA & HarzAllah, AMIRA, 2025. "Integration, Contagion and Turmoils; Evidence from Emerging markets," MPRA Paper 123775, University Library of Munich, Germany, revised 25 Feb 2025.
    2. Nusair, Salah A. & Olson, Dennis & Al-Khasawneh, Jamal A., 2024. "Asymmetric effects of economic policy uncertainty on demand for money in developed countries," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    3. Xiaoyi Zhang & Tamat Sarmidi & Yongxu Chai, 2025. "Assessing the Impact of Aluminum Options on Futures Market Volatility: An Empirical Study of China’s Financial Markets," SAGE Open, , vol. 15(1), pages 21582440251, March.
    4. Lü, Zheng & Ozcelebi, Oguzhan & Yoon, Seong-Min, 2025. "Impact of central bank digital currency uncertainty on international financial markets," Research in International Business and Finance, Elsevier, vol. 73(PA).
    5. Jinhwan Kim & Hoon Cho & Doojin Ryu, 2025. "Global Risk Aversion: Driving Force of Future Real Economic Activity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 706-729, March.
    6. Shao Baorui & Zhang Zhiyuan & Li Zhao, 2024. "Currencies and culture: An amusing journey into the impacts of exchange rates on global creative industries," American Journal of Economics and Sociology, Wiley Blackwell, vol. 83(3), pages 647-672, May.
    7. Alfons Oude Lansink & Magdalena Kapelko, 2025. "Do Sustainability‐Linked Bonds Pay Lower Interest Rates?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 32(4), pages 5337-5347, July.
    8. John Kingsley Woode & Anthony Adu-Asare Idun & Seyram Kawor & Peterson Owusu Junior & Anokye M. Adam, 2025. "Dynamic Connectedness Between Commodities, Exchange Rates and Equity Markets of Commodity-Dependent Sub-Saharan Africa Countries," SAGE Open, , vol. 15(3), pages 21582440251, August.
    9. Mohsen Bahmani‐Oskooee & Muhammad Aftab & Huseyin Karamelikli, 2025. "Russia's Trade With G7 Countries and Asymmetric J‐Curve Effect," Australian Economic Papers, Wiley Blackwell, vol. 64(1), pages 113-120, March.
    10. Ozcelebi, Oguzhan & Yoon, Seong-Min, 2025. "Impact of financial stress on the REIT market stability," International Review of Economics & Finance, Elsevier, vol. 100(C).

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