According to this link from postdocfellowhip.org, "Virtually all postdoc fellowships funded from U.S. sources are subject to income tax because they pay for living expenses. However, often fellowships and traineeships are not subject to automatic tax withholding." The same rules would apply for a foreign Postdoc fellowship." In your case, you have completed all of your education and you are now gaining additional skills to be an effective researcher in your field of study.
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