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

Fil: Marinelli, Gaston. Universidad de San Andrés. Departamento de Economía; Argentina.

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Autor principal: Marinelli, Gaston
Otros Autores: García Cicco, Javier
Formato: Tesis Tesis de maestría updatedVersion
Lenguaje:Inglés
Publicado: Universidad de San Andrés. Departamento de Economía 2025
Acceso en línea:https://repositorio.udesa.edu.ar/handle/10908/25883
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Repositorio Digital - Universidad de San Andrés (UdeSa) de Universidad de San Andrés
id I37-R143-10908-25883
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spelling I37-R143-10908-258832025-11-01T03:00:59Z Global dollar shocks and spillovers into EMDEs: the channels of commodity prices and country risk Marinelli, Gaston García Cicco, Javier Fil: Marinelli, Gaston. Universidad de San Andrés. Departamento de Economía; Argentina. 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. 2025-10-31T14:47:21Z 2025-10-31T14:47:21Z 2025-10 Tesis info:eu-repo/semantics/masterThesis info:ar-repo/semantics/tesis de maestría info:eu-repo/semantics/updatedVersion https://repositorio.udesa.edu.ar/handle/10908/25883 eng info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf application/pdf Universidad de San Andrés. Departamento de Economía
institution Universidad de San Andrés
institution_str I-37
repository_str R-143
collection Repositorio Digital - Universidad de San Andrés (UdeSa)
language Inglés
description Fil: Marinelli, Gaston. Universidad de San Andrés. Departamento de Economía; Argentina.
author2 García Cicco, Javier
author_facet García Cicco, Javier
Marinelli, Gaston
format Tesis
Tesis de maestría
Tesis de maestría
updatedVersion
author Marinelli, Gaston
spellingShingle Marinelli, Gaston
Global dollar shocks and spillovers into EMDEs: the channels of commodity prices and country risk
author_sort Marinelli, Gaston
title Global dollar shocks and spillovers into EMDEs: the channels of commodity prices and country risk
title_short Global dollar shocks and spillovers into EMDEs: the channels of commodity prices and country risk
title_full Global dollar shocks and spillovers into EMDEs: the channels of commodity prices and country risk
title_fullStr Global dollar shocks and spillovers into EMDEs: the channels of commodity prices and country risk
title_full_unstemmed Global dollar shocks and spillovers into EMDEs: the channels of commodity prices and country risk
title_sort global dollar shocks and spillovers into emdes: the channels of commodity prices and country risk
publisher Universidad de San Andrés. Departamento de Economía
publishDate 2025
url https://repositorio.udesa.edu.ar/handle/10908/25883
work_keys_str_mv AT marinelligaston globaldollarshocksandspilloversintoemdesthechannelsofcommoditypricesandcountryrisk
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