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

Sophie Brana and Stéphanie Prat

Economic Modelling, 2016, vol. 52, issue PA, 26-34

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 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.

Keywords: Global liquidity; Unconventional monetary policy; Asset prices; Emerging market countries; Nonlinearities; Panel threshold model (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (17)

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Working Paper: The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:52:y:2016:i:pa:p:26-34

DOI: 10.1016/j.econmod.2015.06.026

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