Macroeconomic Fluctuation in Emerging Market Economies

ABSTRACT In this study, we incorporate recent major external shocks to analyse fluctuations in emerging market economies. We use a Global Vector Autoregression (GVAR) model from January 1999 to October 2022, incorporating major industrialized and emerging economies. The results indicate that the world economy is the principal component associated with domestic fluctuations in emerging economies, with China showing a high degree of dynamic correlation. The estimates also underscore the importance of the world economy in the decomposition of house prices, oil prices, and geopolitical risk.