Fig. 3

Common dynamics of EME’s and AE’s financial markets during US UMP periods. BOND represents foreign long-term yields, measured by 5 year local currency government bond yields. CDS represents country risk premium, measured by 5 year sovereign CDS spreads. EXC is the exchange rate (defined as domestic currency units per unit in US dollars). A negative change in the exchange rate denotes appreciation of the domestic currency. STOCK represents equity prices.