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

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  • Sophie Brana
  • Stéphanie Prat

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.

Suggested Citation

  • Sophie Brana & Stéphanie Prat, 2013. "Politiques monétaires non conventionnelles et prix d'actifs dans les pays émergents," Revue française d'économie, Presses de Sciences-Po, vol. 0(4), pages 83-111.
    • Handle: RePEc:cai:rferfe:rfe_134_0083
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