We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) and conditional on data from 10/2004 through 12/2016. We apply a novel data-based identification approach of the structural shocks that allows to account for the complex interrelations within the triad of exchange rates, sovereign risks and interest rates. The direction and size of the response of sovereign risk to FX rate movements depend on the considered type of exchange rate measure and on the size of the net foreign currency exposure of an economy. A depreciation of the domestic currency against the USD increases sovereign risk. In contrast, when looking at the nominal effective exchange rate that is unrelated to changes of USD exchange rate, we find in general no significant effect. We conclude that the ‘financial channel’ is more important in the transmission of exchange rate shocks to sovereign risk in comparison with the traditional ‘net trade channel’. Moreover, we confirm the prime role of the currency mismatch of the non-public sector for the strength of the ‘financial channel’.

我们通过结构向量自回归模型 (SVAR) 并以 10/2004 至 12/2016 的数据为条件，量化了 16 个主要新兴市场经济体 (EME) 的汇率变动与主权风险之间的因果关系。我们应用了一种基于数据的新型结构性冲击识别方法，可以解释汇率、主权风险和利率三元组中复杂的相互关系。主权风险对外汇汇率变动的反应方向和规模取决于所考虑的汇率衡量类型和经济体的净外汇敞口的规模。本币兑美元贬值会增加主权风险。相比之下，在看与美元汇率变动无关的名义有效汇率时，我们发现总体上没有显着影响。我们得出结论，“金融渠道” 与传统的“净贸易渠道”相比，在汇率冲击对主权风险的传导方面更为重要。此外，我们确认了非公共部门货币错配对“金融渠道”实力的主要作用。