Asymmetric Effects of Fed Shocks on the Currency Market Pressure Index of BRICS Countries: Panel Quantile Regression Analysis

Abstract

Subject. The Impact of Shocks from the U.S. Federal Reserve System (Fed) on the Exchange Market Pressure (EMP) Index in BRICS Countries. Objectives. To assess the short‑term and asymmetric effects of conventional policy shocks and informational shocks from the Fed across EMP quantiles. Methods. The quantitative analysis is based on panel quantile regression with fixed effects for BRICS countries to estimate the asymmetric effects of Fed shocks on EMP, as well as on the calculation of quantile impulse responses using the local projections method with bootstrap confidence intervals. Results. Asymmetric effects were identified across quantiles and by shock type: statistically significant effects are observed only in the tails of the EMP distribution (0.1 and 0.9), i.e., under conditions of high currency market stress. Fed informational shocks have a stronger impact than conventional policy shocks, while a negative informational shock is characterized by less predictable dynamics. Relevance. The study results may be useful for discussing macroprudential policy measures in BRICS countries for both research and regulatory purposes, including the potential use of flexible capital control instruments. They can also contribute to a deeper understanding of currency risks and cross‑border spillover effects amid global instability.