This study employs two complementary models (TVP-VAR-DY and TVP-VAR-BK) to examine the dynamic volatility transmission between exchange rates and stock returns of major commodity exporters and importers by adopting time-varying parameter vectors autoregressive during the quantitative easing (QE) and tightening (QT) periods between March 15, 2020, and December 30, 2022. The research countries are Canada and Australia (as major commodity exporters), and the UK and Germany (as major commodity importers). One significant contribution of this paper to the existing literature lies in offering new empirical findings on the dynamics of stock market returns and how volatility moves between these markets and stock exchanges among countries under scrutiny during QE and QT periods. Therefore, our results are essential for all involved stakeholders, including governments, traders, portfolio managers, consumers, and producers. Our findings indicate that the causality mainly flows from the stock markets to the exchange rates, especially during the quantitative tightening period in all investment horizons. The Toronto stock exchange (TSX) is the main net driver in the investigated markets. Also, the Canadian dollar index (CADUSD) and Australian stock exchange (ASX) are the most net affected indices from the network in different investment horizons (except for long-term). With regard to the findings, it can be claimed that investors and policymakers should consider the interrelationship between exchange rate and stock market returns by considering the quantitative tightening and easing periods as well as economic, political, and health events.

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