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Local, Regional and Global FX Shock Indices in Emerging Markets

Author

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  • Fatma Pinar Erdem
  • Utku Bora Geyikci

Abstract

[EN] Shocks to exchange rates have drawn special attention particularly in emerging market economies (EMEs) not only because they are seen as the most important indicator of vulnerability in EMEs , but also because exchange rate movements can have serious effects on the real economy. Studies on the excha nge rates mostly focus on the impact of the exchange rate shocks yet the question of what causes those shocks remains unanswered. Hence, the primary interest of this study is to decompose local, regional or global factors in exchange rate movements in EMEs and to develop daily local, regional and global shock indices for 19 major EMEs. To decompose shocks, the spread between forward exchange rates and concurrent spot exchange rates are taken into account since under rational expectations and risk neutrality it is expected that forward exchange rates are unbiased estimator of future spot rates. Findings point out that introduced local, regional and global shock indices match with the local and regional events as well as with global developments.[TR] Doviz piyasasinin ulke kirilganliginin iyi bir gostergesi olmasi, ayrica reel ekonomiye etkisinin guclu olmasi nedeniyle ozellikle gelismekte olan ulkelerdeki (GOU) kur hareketlerindeki soklarin ayristirilmasi onem arz etmektedir. Doviz piyasasini ele alan calismalarin cogu doviz piyasasindaki soklarin etkilerine yogunlasirken, soklarin kaynaklarinin ayristirilmasina odaklanan calismalar sinirlidir. Bu baglamda, bu calismada kur hareketlerindeki yerel, bolgesel ve kuresel etkenlerin ayristirilmasi ve 19 tane baslica GOU icin gunluk bazda yerel, bolgesel ve kuresel sok endekslerinin gelistirilmesi amaclanmistir. Vadeli ve ilgili vadedeki spot doviz kurlari arasindaki fark, rasyonel beklentiler ile riske karsi kayitsizliktaki bozulmayi yansittigi icin yerel, bolgesel ve kuresel sok endekslerinin gelistirilmesinde temel alinmistir. Olusturulan yerel, bolgesel ve kuresel sok endekslerinin yerel, bolgesel ve kuresel gelismeler ile uyumlu oldugu gozlenmistir.

Suggested Citation

  • Fatma Pinar Erdem & Utku Bora Geyikci, 2018. "Local, Regional and Global FX Shock Indices in Emerging Markets," CBT Research Notes in Economics 1812, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:econot:1812
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    References listed on IDEAS

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