Küresel Ekonomik Politika Belirsizliği Şoklarının Gelişmekte Olan Piyasa Getirilerine Asimetrik ve Dinamik Etkileri
The Asymmetric and Dynamic Effects of Global Economic Policy Uncertainty Shocks on Emerging Market Returns

Summary/Abstract: This study examines the asymmetric and time-varying effects of global economic policy uncertainty shocks on the return dynamics of emerging stock markets. The main objective of the study is to reveal the direction, magnitude, and temporal persistence of the effects of positive and negative shocks in the Global Economic Policy Uncertainty (GEPU) index on the positive and negative return components of the MSCI Emerging Markets (MSCI EM) Index. To this end, the analysis is conducted using the time-varying causality test developed by Balcilar et al. (2010) and is based on monthly data covering the period from January 2010 to April 2025. The empirical findings indicate that positive GEPU shocks generate stronger but more rapidly dissipating negative effects on the negative return component of the MSCI EM Index, whereas negative GEPU shocks produce relatively milder but more persistent positive effects. These findings suggest that investors respond more quickly and sharply to increases in uncertainty, while they react more cautiously to decreases in uncertainty. Overall, the results indicate that the effects of global economic policy uncertainty shocks on emerging market returns are asymmetric in terms of both their magnitude and duration.

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