Bernoth, Kerstin; Herwartz, Helmut - In: Journal of International Money and Finance 117 (2021), pp. --
We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies … 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 …