## Figure 1-12

## Source details

**Canonical URL:** [Figure 1-12](https://www.imf.org/-/media/files/publications/gfsr/2018/oct/ch1/pdf/figure1-12.pdf)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2018/oct/ch1/pdf/figure1-12.pdf.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2018/oct/ch1/pdf/figure1-12.pdf.json)

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### Investor differentiation among emerging markets — main observations
- The directional spillover indices show "a modest increase in the level of spillovers but a large variation."
- "Spillovers in equity markets have increased as well but have remained below levels seen in past sell-offs."
- "In credit markets, spreads of lower-rated borrowers have widened more than their peers."
- "Idiosyncratic factors explain a large proportion of exchange rate changes in cases of large currency depreciations."

### EM FX changes and idiosyncratic components
- Panel note: "In panel 2, the idiosyncratic risk premiums are the unexplained residuals from the model, in which emerging market currency returns are regressed on two systematic factors (a carry factor and the U.S. dollar) (see footnote 10)."
- Panel label: "2. EM FX: Changes since April 2018 and Their Idiosyncratic Components (Percent; black dots represent idiosyncratic components)"
- Many EM exchange rate moves contain large idiosyncratic residuals (black dots), indicating country-specific drivers for sizeable depreciations.

### Correlation and dispersion in EM currencies
- "EM exchange rates have become more correlated since early July, but correlation between idiosyncratic components is low/negative."
- Panel label: "3. EM Currencies: Correlation between FX Returns, and Idiosyncratic Components of FX Returns (Median of pairwise correlations, percent)"
- Time markers present in figure: "2013 14 15 16 17 18" and also "2008 10 12 14 16 18" indicating comparisons across episodes (Taper tantrum, Renminbi devaluation, U.S. Election, EM sell-off).

### Volatility: median and dispersion
- Panel description: "4. EM Currency Volatility (Median and Dispersion) (Percentage points)"
- Volatility measure: "Panel 4 plots 60-day realized volatility: dispersion is calculated as the difference between the 90th and 10th percentiles."
- Statement: "While median EM foreign exchange volatility has inched up recently, there is a significant dispersion across countries."
- Displayed percentiles referenced: "25th–75th percentile EM currency return spillover index" (as shown in figure annotations).

### Spillover indices methodology and outcomes
- Methodology note: "In panels 5 and 6, the spillover indices are based on the methodology by Diebold and Yilmaz (2009), using emerging market equity returns (MSCI indices) and currency returns (local currency versus USD exchange rates), respectively (see footnote 11)."
- Panel labels:
  - "5. Emerging Market Currency Return Spillover Index (Percent)"
  - "6. Emerging Market Regional Equity Return Spillovers Indices (Percent)"
- Figure annotations show spillover index ranges with numeric ticks: "–60 –50 –40 –30 –20 –10 0 10 20 30 40 50 60 70" and "–5 –4 –3 –2 –1 0 1 2 3 4 0 50 5 10 15 20 25 30 35 40 45" indicating the plotted scales.

### Credit markets and rating stratification
- Panel label: "1. EMBIG Spread Change (Basis points)"
- Observation: Lower-rated borrowers (ratings shown in the figure as "B  BB  BBB  A") experienced larger EMBIG spread changes compared with higher-rated peers.
- Numeric axis span shown: "–500 50 100 150 200 250 300 350 400" indicating scale of spread changes (basis points) for listed country codes.

### Country-level identifiers and examples
- Data labels use ISO country codes; examples shown in the figure (in order appearing) include:
  - "LEB ARG UKR EGY NGA TUR BRA ZAF RUS MEX IDN HUN KAZ PHL COL PER MYS CHL CHN POL"
- Regional groupings annotated: "Asia Latin America Europe, Middle East, and Africa"

*Sources: Bloomberg Finance L.P.; and IMF staff estimates.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2018/oct/ch1/pdf/figure1-12.pdf_