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L'impact des crises financières globales sur les marchés des changes des pays émergents

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  • Virginie Coudert
  • Cécile Couharde
  • Valérie Mignon

Abstract

The aim of this paper is to test whether global financial crises tend to weaken the link between emerging currencies and the us dollar. To this end, we measure the degree of exchange rate flexibility through the exchange rate volatility, and investigate its relationship to a global financial stress indicator, proxied by the volatility on global markets. We pay a special attention to non-linear dynamics and estimate smooth transition regressions over a sample of 21 emerging countries from January 1994 to September 2009. Our findings show that there exist (i) a positive impact of the global financial stress on the exchange rate flexibility for most emerging countries, and (ii) non-linear regional contagion effects among the emerging currencies of the same geographical area. Classification JEL : F31, G15, C22.

Suggested Citation

  • Virginie Coudert & Cécile Couharde & Valérie Mignon, 2011. "L'impact des crises financières globales sur les marchés des changes des pays émergents," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 451-460.
    • Handle: RePEc:cai:recosp:reco_623_0451
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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