Economic policy uncertainty (EPU) is a pervasive source of risk with significant implications for financial markets, particularly the foreign exchange (FX) market. Moving beyond traditional linear analyses, this study investigates the bidirectional, time-frequency dependent linkages between EPU and two core dimensions of Iran’s FX market—returns and volatility—using advanced continuous wavelet coherence. The main findings are further validated by a rolling-window Granger causality analysis, which corroborates the results in the time domain. The results reveal dynamic and complex relationships that vary across different time horizons. In the short run, a reactive and bidirectional dynamic prevails. In the mid-term, EPU acts as a dominant driver, leading to currency depreciation and increased volatility. Furthermore, in the long run, evidence of positive feedback loops is observed. A key finding of this research is the discovery of a structural asymmetry in these linkages: the causal channel from EPU to the FX market is significantly stronger and more persistent than the feedback channel in the reverse direction. By emphasizing the importance of horizon-specific analysis, these findings offer crucial implications for risk management and policy-making in Iran's economy.