Global dollar shocks and spillovers into EMDEs: the channels of commodity prices and country risk

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dc.contributor.MentorGarcía Cicco, Javier
dc.creator.AutorMarinelli, Gaston
dc.date.accessioned2025-10-31T14:47:21Z
dc.date.available2025-10-31T14:47:21Z
dc.date.issued2025-10
dc.descriptionFil: Marinelli, Gaston. Universidad de San Andrés. Departamento de Economía; Argentina.
dc.description.abstractThis paper shows how global dollar appreciations transmit to emerging market and developing economies (EMDEs) through commodity prices and country risk. Using quarterly data for 22 EMDEs from 1999–2019, I combine the Obstfeld & Zhou (2023) dataset with country-specific commodity price indices and classify countries as commodity exporters or importers via a trade-balance rule. Global dollar appreciation shocks explain up to 16% of the forecast-error variance of commodity terms of trade (CToT) and up to 9% of EMBI spreads. A global dollar appreciation depreciates EMDE currencies, raises EMBI, depresses investment, and lowers GDP, with muted CPI effects. Stratifying by commodity status reveals sharp heterogeneity: exporters suffer larger and more persistent adverse responses, while importers seem stable. To uncover mechanisms, I implement an approach `a la Cloyne–Jord`a–Taylor (2023) to estimate indirect effects. A more favorable CToT response mitigates output and demand contractions, whereas higher commodity import prices and larger EMBI responses amplify adverse outcomes.
dc.formatapplication/pdf
dc.identifier.urihttps://repositorio.udesa.edu.ar/handle/10908/25883
dc.languageeng
dc.publisherUniversidad de San Andrés. Departamento de Economía
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightshttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.titleGlobal dollar shocks and spillovers into EMDEs: the channels of commodity prices and country risk
dc.typeTesis
dc.typeinfo:eu-repo/semantics/masterThesis
dc.typeinfo:ar-repo/semantics/tesis de maestría
dc.typeinfo:eu-repo/semantics/updatedVersion
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