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

Sophie Brana and Stephanie Prat
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Stephanie Prat: Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux

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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.

Date: 2016-01-01
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Published in Economic Modelling, 2016, 52 (Part. A), pp.26-34. ⟨10.1016/j.econmod.2015.06.026⟩

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Journal Article: 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:hal:journl:hal-03894886

DOI: 10.1016/j.econmod.2015.06.026

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