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The aim of this paper is to test whether global financial crises tend to weaken the link between emerging currencies and the US dollar. To this end, we measure the degree of exchange rate flexibility through exchange rate volatility, and investigate its relationship to a global financial stress indicator, proxied by the volatility on global markets. We pay a special attention to non-linear dynamics and estimate smooth transition regressions over a sample of 21 emerging countries from January 1994 to September 2009. Our findings show that there exist (i) a positive impact of the global financial stress on the exchange rate flexibility for most emerging countries, and (ii) non-linear regional contagion effects among the emerging currencies of the same geographical area.Classification JEL:F31, G15, C22.