Christou, ChristinaGupta, RanganHassapis, ChristisSuleman, Tahir2018-11-282018-11Christou C, Gupta R, Hassapis C, Suleman T. The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions. Journal of Forecasting. 2018;37:705–719. https://doi.org/10.1002/for.2539.0277-6693 (print)1099-131X (online)10.1002/for.2539http://hdl.handle.net/2263/67340In this paper, we investigate whether the news‐based measure of economic policy uncertainty (EPU) can be used to forecast exchange rate returns and volatility using a quantile regression approach, which accounts for persistence and endogeneity, using data from 13 different countries. Our main findings suggest that: (i) EPU is useful for forecasting exchange rate returns and volatility, (ii) forecasting ability–quantile order relationships exhibit a U‐shape, possibly asymmetric form around the median; and (iii) asymmetries are more pronounced in the case of forecasting volatility.en© 2018 John Wiley & Sons, Ltd. This is the pre-peer reviewed version of the following article : The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions. Journal of Forecasting. 2018;37:705–719. https://doi.org/10.1002/for.2539. The definite version is available at : http://wileyonlinelibrary.com/journal/for.Developed marketsEmerging marketsEconomic policy uncertainty (EPU)Exchange rate returnsQuantile predictive regressionsVolatilityPredictabilityMonetary policyForecastingPostprint Article