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This study investigates the impact of economic policy uncertainty (EPU) on China's exchange rate volatility from December 2001 to November 2018. Using the quantile regression, our results show that the impact of EPU on exchange rate volatility in China exhibits asymmetry as well as heterogeneity in different markets. The EPU for China impacts positively and significantly on all quantiles volatilities of exchange rates. Furthermore, we observe that EPU has a mixed effect on exchange rate volatility with apparent economy-by-economy differences. The US, Europe and Japan EPU have significant impacts, while Hong Kong EPU is insignificantly correlated with exchange rate volatility.
Chen et al. (Mon,) studied this question.