This paper investigates the predictive content of news-based advanced market, regional, and global economic policy uncertainty (EPU) measures for bond spreads and their volatility in emerging markets (EMs) by extending the higher $(k$-th$)$ order nonparametric causality-in-quantiles test to a multivariate case. Results show that global and advanced market EPU measures have predictive power for EM bond spreads in the lower and upper quantiles while for volatility, the predictive power is stronger in the upper quantiles and further observes predictability in the mid quantiles. Predictability detected for all EMs is characterized by an inherent heterogeneity leading to an asymmetric pattern over the distribution of EM bond spreads and volatility. The implication for heterogeneity in our results is that when EPU is high in advanced markets, global investors’ appetite for the EM local currency bonds increases due to high yields. However, when EPU is low, global investors move out of EMs because of the perceived unsafe investment environments in EMs.

本文研究了基于新闻的先进市场、区域和全球经济政策不确定性 (EPU) 衡量新兴市场 (EMs) 债券利差及其波动性的预测内容 $(克$-th$)$对多变量案例进行非参数因果分位数检验。结果表明，全球和先进市场 EPU 指标对新兴市场债券利差在下分位数和上分位数具有预测能力，而对于波动率，上分位数的预测能力更强，并进一步观察了中间分位数的可预测性。对所有新兴市场检测到的可预测性的特点是固有的异质性，导致新兴市场债券利差和波动性分布的不对称模式。我们结果中异质性的含义是，当发达市场的 EPU 较高时，全球投资者对新兴市场本币债券的兴趣会因高收益率而增加。然而，当 EPU 较低时，全球投资者会因为新兴市场不安全的投资环境而撤离新兴市场。