The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model
PRAT, Stephanie
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
PRAT, Stephanie
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
< Reduce
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
Language
EN
Article de revue
This item was published in
Economic Modelling. 2016-01-01, vol. 52, n° Part. A, p. 26-34
English Abstract
The expansion of global liquidity, exacerbated by the unconventional monetary policies implemented by the major central banks over the past several years, has contributed to the debate on the cross-border impact of those ...Read more >
The expansion of global liquidity, exacerbated by the unconventional monetary policies implemented by the major central banks over the past several years, has contributed to the debate on the cross-border impact of those measures. This paper examines the impact of global excess liquidity on asset prices for a set of seventeen emerging market countries taking into account nonlinearity by using a panel threshold model. We find that in a period of global investors' high risk appetites, global excess liquidity is a positive determinant of asset prices in emerging market countries. However, the link between the two variables changes when global risk aversion strengthens.Read less <