Global Liquidity and Financial Stress: Evidence from Major Emerging Economies

dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-3865-5868
dc.authorid0000-0002-0104-1088
dc.authorscopusid26653963900
dc.authorscopusid57136817300
dc.authorscopusid8873464300
dc.authorwosidCevik, Emrah/K-1967-2019
dc.authorwosidCevik, Emrah/AAE-7169-2022
dc.authorwosidKırcı Çevik, Nüket/AFM-7310-2022
dc.authorwosidDibooglu, Sel/AAJ-4102-2020
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorKırcı Çevik, Nüket
dc.contributor.authorDibooğlu, Sel
dc.date.accessioned2022-05-11T14:33:29Z
dc.date.available2022-05-11T14:33:29Z
dc.date.issued2016
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.descriptionInternational Conference on Neoclassical and Behavioral Finance -- JUN 26-27, 2014 -- Univ Lodz, Lodz, POLAND
dc.description.abstractWe 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.
dc.description.sponsorshipAtlas, Magellan, Petcki Co
dc.identifier.doi10.1080/1540496X.2016.1140456
dc.identifier.endpage2807
dc.identifier.issn1540-496X
dc.identifier.issn1558-0938
dc.identifier.issue12en_US
dc.identifier.scopus2-s2.0-84959048865
dc.identifier.scopusqualityQ1
dc.identifier.startpage2790
dc.identifier.urihttps://doi.org/10.1080/1540496X.2016.1140456
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7763
dc.identifier.volume52
dc.identifier.wosWOS:000388738300008
dc.identifier.wosqualityQ3
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherRoutledge Journals, Taylor & Francis Ltd
dc.relation.ispartofEmerging Markets Finance and Trade
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectbusiness cycles
dc.subjectemerging economies
dc.subjectfinancial crises
dc.subjectglobal liquidity
dc.subjectMarkets
dc.subjectSpreads
dc.subjectPrices
dc.titleGlobal Liquidity and Financial Stress: Evidence from Major Emerging Economies
dc.typeConference Object

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Küçük Resim Yok
İsim:
7763.pdf
Boyut:
761.15 KB
Biçim:
Adobe Portable Document Format
Açıklama:
Tam Metin / Full Text