Politiques monétaires non conventionnelles et prix d'actifs dans les pays émergents

Sophie Brana and Stéphanie Prat

Revue française d'économie, 2013, vol. Volume XXVIII, issue 4, 83-111

Abstract: The expansion of global liquidity, resulting from 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 eleven emerging market countries taking into account nonlinearity by using a panel threshold model. We find that, in period of high-risk appetite of international investors, global excess liquidity is a positive determinant of asset prices in those countries. However the link between the two variables disappears when investor risk aversion strengthens.

Date: 2013
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