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Emerging market economy currencies: the role of global risk, the US dollar and domestic forces

Author

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  • Ferrari Minesso, Massimo

Abstract

This box presents a methodology to disentangle four main drivers of EMEs currencies swings: spillovers from US shocks, global risk appetite, interest rate effects and idiosyncratic domestic shocks. The main finding is that while the sell-off - between January and August 2018 - was mainly related to US and global risk factors, the recovery since then is driven by improved domestic conditions. JEL Classification: F31

Suggested Citation

  • Ferrari Minesso, Massimo, 2019. "Emerging market economy currencies: the role of global risk, the US dollar and domestic forces," Economic Bulletin Boxes, European Central Bank, vol. 3.
    • Handle: RePEc:ecb:ecbbox:2019:0003:2
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    More about this item

    Keywords

    depreciation; Emerging market currencies; global risk; US dollar;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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