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

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  • Keefe, Helena Glebocki

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.

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  • Keefe, Helena Glebocki, 2021. "The transmission of global monetary and credit shocks on exchange market pressure in emerging markets and developing economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    • Handle: RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000391
    DOI: 10.1016/j.intfin.2021.101320
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    2. Shawkat Hammoudeh & Walid Mensi & Jin Seo Cho, 2022. "Spillovers between exchange rate pressure and CDS bid-ask spreads, reserve assets and oil prices using the quantile ARDL model," International Economics, CEPII research center, issue 170, pages 66-78.
    3. Yahui Yang & Zhe Peng, 2024. "Openness and Real Exchange Rate Volatility: Evidence from China," Open Economies Review, Springer, vol. 35(1), pages 121-158, February.
    4. Gnangnon, Sèna Kimm, 2023. "Productive capacities, structural economic vulnerability and fiscal space volatility in developing countries," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 45(3), pages 25-48.
    5. Sena Kimm Gnangnon, 2022. "Effect of Structural Economic Vulnerability on the Participation in International Trade," JRFM, MDPI, vol. 15(9), pages 1-36, September.
    6. Gnangnon, Sèna Kimm, 2022. "Effect of structural economic vulnerability on the participation in international trade," EconStor Preprints 262004, ZBW - Leibniz Information Centre for Economics.

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    More about this item

    Keywords

    Exchange rates; Emerging markets; International transmission; Global shocks;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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