The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model

被引：21
|
作者：
Brana, Sophie [1 ]
Prat, Stephanie [1 ,2 ]
机构：
[1] Univ Bordeaux, Larefi, Bordeaux, France
[2] Univ Bordeaux, INSEEC Business Sch, Bordeaux, France
来源：
ECONOMIC MODELLING | 2016年 / 52卷
关键词：
Global liquidity; Unconventional monetary policy; Asset prices; Emerging market countries; Nonlinearides; Panel threshold model; MONETARY-POLICY; NUISANCE PARAMETER; COUNTRIES; AVERSION; PRICES; WEALTH;
D O I：
10.1016/j.econmod.2015.06.026
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2015 Elsevier B.V. All rights reserved.
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页码：26 / 34
页数：9
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