Global excess liquidity and asset prices in emerging countries: a pvar approach

Sophie Brana, Marie-Louise Djibenou and Stéphanie Prat
Additional contact information
Marie-Louise Djibenou: Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux
Stéphanie Prat: Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux

Working Papers from HAL

Abstract: The overly accommodating monetary policy is often accused of creating surplus liquidity and bubbles on the asset markets. In particular, it could have contributed to strong capital inflows in emerging countries, which may have had a significant impact on financial stability in these countries, affecting domestic financing conditions and creating a risk of upward pressures on asset prices. We focus in this paper on the impact of global excess liquidity on good and asset prices for a set of emerging market countries by estimating a panel VAR model. We define first global liquidity and highlight situations of excess liquidity. We then find that excess liquidity at the global level has spillover effects on output and price level in emerging countries. The impact on real estate and commodity prices in emerging countries is less clear.

Keywords: Global liquidity; excess liquidity indicators; crises indicators; emerging countries; financial crisis (search for similar items in EconPapers)
Date: 2012-03-01
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac and nep-mon
Note: View the original document on HAL open archive server: https://hal.science/hal-00740102
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (53)

Downloads: (external link)
https://hal.science/hal-00740102/document (application/pdf)

Related works:
Journal Article: Global excess liquidity and asset prices in emerging countries: A PVAR approach (2012)
Working Paper: Global excess liquidity and asset prices in emerging countries: a pvar approach (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00740102

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().