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The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model

Author

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  • Sophie Brana

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

  • Stephanie Prat

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

Abstract

The expansion of global liquidity, exacerbated by 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 seventeen emerging market countries taking into account nonlinearity by using a panel threshold model. We find that in a period of global investors' high risk appetites, global excess liquidity is a positive determinant of asset prices in emerging market countries. However, the link between the two variables changes when global risk aversion strengthens.

Suggested Citation

  • Sophie Brana & Stephanie Prat, 2016. "The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model," Post-Print hal-03894886, HAL.
    • Handle: RePEc:hal:journl:hal-03894886
    DOI: 10.1016/j.econmod.2015.06.026
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