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This paper investigates the nonlinear and asymmetric relationships between the U.S. economic policy uncertainty (EPU) index and the volatility of bond returns in 36 emerging markets (EMs) using panel quantile regression methods. Our findings indicate that the spillover effects of the U.S. EPU on the volatility of bond returns are strong in EMs, particularly in the upper quantiles of volatility, and are substantial in magnitude. We also explore the impact of the U.S. monetary policy uncertainty (MPU) index and fiscal policy uncertainty (FPU) indices on the volatility of bond returns in 36 EMs, and observe a positive correlation between both the U.S. MPU and the U.S. FPU and bond return volatility in EMs. Of all the spillover effects, the U.S. MPU has the largest magnitude. Additionally, our results demonstrate that the spillover effects induced by three U.S. policy uncertainties are sensitive to the macroeconomic environment, with a stronger impact during financial crises and in countries with high degrees of financial openness.

An Investigation of the Nonlinear and Asymmetric Spillover Effects of U.S. Economic Policy Uncertainty on Bond Return Volatility of Emerging Markets