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Global liquidity transmission to emerging market economies, and their policy responses

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  • Choi, Woon Gyu
  • Kang, Taesu
  • Kim, Geun-Young
  • Lee, Byongju

Abstract

This paper analyzes the transmission of global liquidity (GL) from advanced economies (AEs) to emerging market economies (EMEs). We distill GL momenta from the macro-financial data of AEs through a factor model and identify them with sign restrictions as policy-driven, market-driven, and risk averseness factors. Using a panel factor-augmented VAR analysis, we then investigate EME responses to shocks to GL momenta. A positive shock to policy-driven liquidity boosts growth in EMEs, elevating stock prices and currency values, while a shock to risk averseness has a largely opposite effect. A market-driven GL expansion boosts stock markets and lowers funding costs, increasing competitiveness and current account balance. Inflation targeting EMEs are found to fare better than EMEs under alternative regimes in terms of macro-financial volatility.

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  • Choi, Woon Gyu & Kang, Taesu & Kim, Geun-Young & Lee, Byongju, 2017. "Global liquidity transmission to emerging market economies, and their policy responses," Journal of International Economics, Elsevier, vol. 109(C), pages 153-166.
  • Handle: RePEc:eee:inecon:v:109:y:2017:i:c:p:153-166
    DOI: 10.1016/j.jinteco.2017.08.001
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    Cited by:

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    2. Jorge Lorca, 2021. "Capital Flows and Emerging Markets Fluctuations," Working Papers Central Bank of Chile 898, Central Bank of Chile.
    3. Guerello, Chiara & Tronzano, Marco, 2020. "“Global factors, international spillovers, and the term structure of interest rates: New evidence for Asian Countries”," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    4. Hyunju Kang & Bok-Keun Yu & Jongmin Yu, 2016. "Global Liquidity and Commodity Prices," Review of International Economics, Wiley Blackwell, vol. 24(1), pages 20-36, February.
    5. Yun, Jaeho, 2020. "Variance risk premium in a small open economy with volatile capital flows: The case of Korea," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 105-125.
    6. Eduardo Levy-Yeyati & Nathan Converse & Tomas Williams, 2017. "How ETFs Amplify the Global Financial Cycle in Emerging Markets," School of Government Working Papers 201702, Universidad Torcuato Di Tella.
    7. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2021. "The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis," Resources Policy, Elsevier, vol. 72(C).
    8. Agur, Itai & Chan, Melissa & Goswami, Mangal & Sharma, Sunil, 2019. "On international integration of emerging sovereign bond markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 347-363.
    9. Berrak Bahadir & Neven Valev, 2021. "Global Liquidity and Household Credit," Working Papers 2106, Florida International University, Department of Economics.
    10. Kim, Soyoung & Shin, Hyun Song, 2021. "Offshore EME bond issuance and the transmission channels of global liquidity," Journal of International Money and Finance, Elsevier, vol. 112(C).
    11. Jinsoo Lee & Bok-Keun Yu, 2018. "What Drives the Stock Market Comovements between Korea and China, Japan and the US?," Working Papers 2018-2, Economic Research Institute, Bank of Korea.
    12. Yun, Jaeho, 2019. "Bond risk premia in a small open economy with volatile capital flows: The case of Korea," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 223-243.
    13. Souza, Rodrigo da Silva & Fry-McKibbin, Renée, 2021. "Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 781-800.
    14. Eduardo Levy-Yeyati & Nathan Converse & Tomas Williams, 2017. "How ETFs Amplify the Global Financial Cycle in Emerging Markets," School of Government Working Papers 2017-12, Universidad Torcuato Di Tella.

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    More about this item

    Keywords

    Global liquidity; Emerging market economies; Panel factor-augmented VAR; Inflation targeting;
    All these keywords.

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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