Global uncertainty and exchange rate conditions: Assessing the impact of uncertainty shocks in emerging markets and advanced economies

Helena Glebocki and Sujata Saha

Journal of International Financial Markets, Institutions and Money, 2024, vol. 96, issue C

Abstract: Economic and financial conditions respond significantly to increased measures of uncertainty, particularly in economic policy, monetary policy, and financial markets. This research employs the global vector autoregression (global VAR) model to assess the response of bilateral exchange rates, exchange rate volatility, exchange market pressure, and nominal and real effective exchange rates to shocks in global economic and financial uncertainty, along with U.S. monetary policy uncertainty, U.S. equity market volatility, and U.S. financial stress indicators. Spikes in uncertainty correspond to immediate increases in exchange rate volatility, buildup of exchange market pressure, and depreciation for emerging markets. The results are compared to advanced economies, China, and Russia separately, identifying key differences across markets.

Keywords: Global uncertainty; Global financial cycle; Exchange rates; Emerging markets; International finance (search for similar items in EconPapers)
JEL-codes: F31 F42 F65 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001264

DOI: 10.1016/j.intfin.2024.102060

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