Assessing the impacts of financial stress on the yield spreads of Poland, Mexico and South Africa

This study employs a nonlinear vector autoregression (VAR) model and quantile-based analysis to examine the effects of financial stress index (FSI) developed countries exchange market pressure (EMPI) on USD-denominated yield spreads Poland, Mexico, South Africa. It was found by VAR that increases/decreases in FSI EMPI raise/lower each emerging country. Although different results are obtained among country, it highlighted foreign domestic can be incorporated monetary policy formulation central banks Quantile also revealed role bond regimes countries, while asymmetrical impacts should considered policymakers.