ABSTRACT

This paper explores the dynamic relationship between global economic factors and emerging stock returns within a factor-augmented VAR model. I find that favorable global growth and stock market shocks have significant positive effects on emerging equity returns, whereas global uncertainty and US dollar exchange rate shocks cause a substantial fall in the returns. Global oil shocks lead to a transient increase in emerging stock returns, followed by a gradual decline. Variance decomposition analysis implies that the global uncertainty shock is the most important in the short run, explaining more than 30% of the fluctuation in emerging stock returns, while the US dollar exchange rate shock becomes the most critical in the long run, explaining more than 40%. These findings have crucial implications for international investors, as well as for policymakers in emerging market economies.

摘要

本文探讨了因子增强 VAR 模型中全球经济因素与新兴股票收益之间的动态关系。我发现有利的全球增长和股市冲击对新兴股票回报有显着的积极影响，而全球不确定性和美元汇率冲击导致回报大幅下降。全球石油冲击导致新兴股票收益暂时上升，随后逐渐下降。方差分解分析表明，全球不确定性冲击在短期内最为重要，解释了新兴股票收益波动的 30% 以上，而美元汇率冲击在长期内成为最为关键，解释了超过40%。这些发现对国际投资者具有重要意义，