Template-Type: ReDIF-Paper 1.0
Author-Name: Marinelli Gaston
Author-Name-First: Gaston
Author-Name-Last: Marinelli
Title: Global Dollar Shocks and Spillovers into EMDEs: The Channels of Commodity Prices and Country Risk
Abstract: This 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.
Length:  30 pages
Creation-Date:  2025-12
File-URL: https://aaep.org.ar/works/works2025/4818.pdf
File-Format: Application/pdf
Number: 4818
Classification-JEL: F4, C3
Handle: RePEc:aep:anales:4818