A stronger U.S. dollar can increase the import bills for emerging markets, potentially offsetting the benefits of lower commodity prices for net importers.
Others are also concerned about U.S. dollar strength, especially in the wake of the Bank of Japan's surprise decision to ramp up its stimulus efforts, increasing purchases of exchange-traded funds (ETFs) and real estate investment trusts (REITs), extending the duration of its portfolio of Japanese government bonds (JGBs), and increasing the pace at which it expands its monetary base.
Read More Emerging markets: The risks markets may be missing
"The Japanese yen should remain under downward pressure, especially as the Fed appeared hawkish this week," HSBC said in a note Friday. "The currency wars are heating up, especially when we consider the risk of further ECB easing is still on the cards."
With this set to both bolster the strength of the U.S. dollar and keep the yen weak, "the BOJ's actions could encourage other policy makers to become more defensive against local currency strength," HSBC said, adding that among emerging markets, it expects exports from Korea and Taiwan may take a hit.
To be sure, some see potential emerging market benefits from weaker commodity prices.
"Commodity price disinflation is an enormous gift to Asian policy makers," ANZ said in a note Thursday. "The extent and complexity of food and energy subsidies across South and Southeast Asia stand out as perhaps the clearest macroeconomic policy failing of recent years."
But declining commodity prices give policy makers the chance to unwind the subsidies with fewer economic and political consequences, it said.
"Unwinding of subsidies could potentially free up as much as 3 percent of GDP in some economies that could be more efficiently allocated to public investment in physical and social infrastructure," ANZ said, adding it expects foreign investors and ratings agencies would take a favorable view of the fiscal improvement.
—By CNBC.Com's Leslie Shaffer; Follow her on Twitter @LeslieShaffer1