The transmission of global monetary and credit shocks on exchange market pressure in emerging markets and developing economies

Helena Glebocki Keefe

Journal of International Financial Markets, Institutions and Money, 2021, vol. 72, issue C

Abstract: There has been a great focus recently on the transmission of shocks from advanced economies to emerging and developing countries. This research considers how shocks in global monetary and credit conditions impact the exchange market pressure index (EMPI) in forty emerging markets and developing economies. It assesses the impact based on the degree of trade openness and capital account openness in these economies using a panel vector autoregression (PVAR) analysis from 1998 to 2016. Countries that are more open in trade and finance are less susceptible to shocks in global monetary liquidity and global credit conditions. Moreover, there is evidence that the response to these shocks changes in the post-2009 era, with the size and strength of the response becoming more significant in both highly open and less open economies. This indicates a greater transmission of these shocks onto exchange market conditions in emerging markets and developing economies in the period after the Global Financial Crisis.

Keywords: Exchange rates; Emerging markets; International transmission; Global shocks (search for similar items in EconPapers)
JEL-codes: E52 F31 F42 F65 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443121000391
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000391

DOI: 10.1016/j.intfin.2021.101320

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().