Global Liquidity and Financial Stress: Evidence from Major Emerging Economies
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Dosyalar
Tarih
2016
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge Journals, Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
We examine the relationship between financial stress and global liquidity for the so-called fragile five emerging economies (Brazil, India, Indonesia, South Africa, and Turkey). By using an extensive set of variables that take into account the structural characteristics of these economies, we construct a financial stress index. We then use a Markov regime switching model to identify the high financial stress episodes. We examine periods of heightened financial stress and its relationship to high incidence of domestic and global disturbances. Finally, we construct a global financial liquidity index and assess the relationship between financial stress and global liquidity. Using a bivariate Markov regime switching VAR model, we find a regime-dependent relation between global liquidity and financial stress. Moreover, global liquidity shocks seem to strain these emerging economies in such a way that global illiquidity heightens financial stress.
Açıklama
International Conference on Neoclassical and Behavioral Finance -- JUN 26-27, 2014 -- Univ Lodz, Lodz, POLAND
Anahtar Kelimeler
business cycles, emerging economies, financial crises, global liquidity, Markets, Spreads, Prices
Kaynak
Emerging Markets Finance and Trade
WoS Q Değeri
Q3
Scopus Q Değeri
Q1
Cilt
52
Sayı
12
