IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Liquidity contagion: A look at emerging markets

  • Dudek, Jérémy
Registered author(s):

    Emerging economies have passed an important stress test during the period 2008-2009 and are now the key drivers for global growth of the world economy. The explosive expansion that emerging markets are showing during the last few years is mainly due to substantial returns that investors made. However, literature exposes that poor liquidity is one of the main reasons for foreign institutional investors not investing in emerging markets. The main contribution is to propose to analyze the liquidity of emerging markets and their effects on the contagion from one another in order to prevent illiquid events or systemic risk. Emerging market liquidity measures are the basis for the sovereign debt market, the deviations of the covered interest parity or the BIL for the foreign exchange market. One classical way to identify contagion is to observe an increase in correlation between asset returns during a crisis period. However, since crisis periods are typically characterized by an increase in volatility, it is crucial to discriminate between volatility and pure-correlation rises. One way to tackle this problem is to use a state-space model with a time-varying volatility specification and apply it to both returns and liquidity indicators.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/8444.

    as
    in new window

    Length:
    Date of creation: Dec 2011
    Date of revision:
    Handle: RePEc:dau:papers:123456789/8444
    Contact details of provider: Web page: http://www.dauphine.fr/en/welcome.html

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:dau:papers:123456789/8444. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexandre Faure)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.