Template-Type: ReDIF-Article 1.0
Author-Name: Boris Hofmann
Author-Name: Taejin Park
Title: The broad dollar exchange rate as an EME risk factor
Abstract: US dollar appreciation is associated with a darkening of the economic outlook for emerging market economies (EMEs). Using data from 21 EMEs, we find that a 1 percentage point (ppt) appreciation shock to the dollar against a broad basket of currencies dampens the growth outlook by over 0.3 ppt and growth-at-risk (the lowest 5% of growth outcomes) by 0.6 ppt. Dollar appreciation adversely affects investment growth-at-risk in particular and even export growth-at-risk, indicating that global financial conditions play a key role. Indeed, the negative impact is significantly larger in countries with high dollar debt or high foreign presence in local currency bond markets.
Journal: BIS Quarterly Review
File-URL: http://www.bis.org/publ/qtrpdf/r_qt2012b.pdf
File-Format: Application/pdf
File-URL: http://www.bis.org/publ/qtrpdf/r_qt2012b.htm
File-Format: text/html
Year: 2020
Month: December
Classification-JEL: F31, F34, F36, F41, F44
Handle: RePEc:bis:bisqtr:2012b