<scp>US</scp> Economic Policy Uncertainty and the Exchange Market Pressure of Large Emerging‐Market Economies: Evidence From <scp>GETS</scp>‐<scp>VAR</scp> and Bayesian Quantile Regression Methods

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 .