US Economic Policy Uncertainty and the Exchange Market Pressure of Large Emerging‐Market Economies: Evidence From GETS ‐ VAR and Bayesian Quantile Regression Methods
研究了2000至2019年间美国经济政策不确定性对九大新兴市场汇率市场压力的影响，发现除土耳其外，美国不确定性会预测这些国家的汇率压力变化，且对巴西、印度和墨西哥有加剧作用。
ABSTRACT Integrating emerging market economies into global financial and economic relations can expose them to external shocks. This paper explores the connection between the US economic policy uncertainty (USEPU) and exchange market pressure (EMP) in nine major emerging markets from 2000 to 2019. To achieve this objective, we use the general‐to‐specific vector autoregressive (GETS‐VAR) and Bayesian quantile regression methods. The empirical results reveal that USEPU predicts changes in the EMP of large emerging market economies, except for Turkey. However, no feedback causal effect from EMP to USEPU was observed. Also, the long‐run steady‐state effects and cumulative impulse responses show that an increase in USEPU intensifies the EMP in Brazil, India and Mexico. Furthermore, our findings reveal that the positive impact of USEPU is heterogeneous leading to asymmetric patterns across the distribution of EMP .