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We examine, using a monthly dataset from 2007 to 2020, the US interest rate shocks’ effects on exchange rates, broad money aggregates, and foreign exchange reserves in emerging market economies ( EMEs ) post global financial crisis. To evaluate the impact of unconventional monetary policy initiatives, we employ Wu-Xia’s shadow interest rates. There are two parts to the methodology. The first part focuses on the identification of the unanticipated US interest rate shock in a SVAR model. In the second part, we incorporate the US interest rate shock into the panel structural  VAR  to analyze its impact on 29 countries from various regions. A positive shock to US interest rates depreciates the exchange rate of  EMEs  against the US dollar. According to our findings, it results in a decline in the broad money aggregate and foreign exchange reserves. The findings are consistent across multiple EME regions.

Effects of US interest rate shocks in the emerging market economies: Evidence from panel structural VAR