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

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2024-09-27 DOI:10.1016/j.intfin.2024.102060

Helena Glebocki , Sujata Saha

引用次数: 0

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.

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全球不确定性与汇率状况：评估不确定性冲击对新兴市场和发达经济体的影响

经济和金融条件对不确定性的增加做出了重大反应，特别是在经济政策、货币政策和金融市场方面。本研究采用全球向量自回归（Global VAR）模型来评估双边汇率、汇率波动性、汇市压力以及名义和实际有效汇率对全球经济和金融不确定性冲击以及美国货币政策不确定性、美国股市波动性和美国金融压力指标的反应。不确定性的飙升会导致新兴市场的汇率波动、汇市压力和贬值立即增加。研究结果分别与发达经济体、中国和俄罗斯进行了比较，找出了不同市场之间的主要差异。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.