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

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  • Glebocki, Helena
  • Saha, Sujata

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.

Suggested Citation

  • Glebocki, Helena & Saha, Sujata, 2024. "Global uncertainty and exchange rate conditions: Assessing the impact of uncertainty shocks in emerging markets and advanced economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 96(C).
    • Handle: RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001264
    DOI: 10.1016/j.intfin.2024.102060
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    Cited by:

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    JEL classification:

    • 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

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