We examine the Economic Policy Uncertainty (EPU) transmission over the Exchange Rate Volatility (ERV) for 8 Emerging Market Economies (EME) using the recent panel VAR methodology of Abrigo and Love (Stata Journal 16:778–804, 2016). The econometric investigation reveals that: (a) both domestic and US-EPU shocks exert positive effects on the ERV, (b) the contribution of the US-EPU to the ERV fluctuations overcomes the own EPU’s share, (c) the ERV acts as a possible transmission channel of the US-EPU to the domestic economic activity, (d) the domestic EPU increases in response to a higher US-EPU and vice versa and (e) the latter is surprisingly and markedly sensitive to EME macroeconomic conditions. Our findings are robust to different sensitivity analyses, provide novel insights into EPU international spillovers, and have interesting policy implications for EME decisions makers and investors.

我们使用 Abrigo 和 Love 最近的面板 VAR 方法（Stata Journal 16:778–804, 2016）研究了经济政策不确定性 (EPU) 对 8 个新兴市场经济体 (EME) 的汇率波动率 (ERV) 的传递。计量经济调查表明：(a) 国内冲击和 US-EPU 冲击均对 ERV 产生积极影响，(b) US-EPU 对 ERV 波动的贡献超过了自身 EPU 的份额，(c) ERV 作为US-EPU 对国内经济活动的可能传导渠道，(d) 国内 EPU 增加以响应更高的 US-EPU，反之亦然，(e) 后者对新兴市场经济体宏观经济状况出人意料且显着敏感。我们的发现对不同的敏感性分析是稳健的，为 EPU 国际溢出提供了新的见解，