Asymmetric effects of global liquidity expansion on foreign portfolio inflows, exchange rates, and stock prices
Dong-Eun Rhee, Da Young Yang (both Korea Institute for International Economic Policy (KIEP))
This paper examines the effects of global liquidity expansion on advanced and emerging economies by using panel VAR methodology. The results show that global liquidity expansion tends to boost economy by increasing GDP growth and stock prices. However, we find that the effects are asymmetric. The effects of global liquidity on GDP and stock prices are greater and more persistent in emerging economies than in liquidity recipient advanced economies. Moreover, global liquidity appreciates emerging economies’ exchange rates more persistently than those of advanced economies. Lastly, while global liquidity expansion increases foreign portfolio investment inflows to Asian countries and liquidity recipient advanced economies, there is no evidence for Latin American countries.
Year of publication: |
June 2014
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Authors: | Dong-Eun, Rhee ; Da Young, Yang |
Published in: |
Journal of East Asian economic integration. - Seoul : [Verlag nicht ermittelbar], ISSN 2287-8793, ZDB-ID 2718098-0. - Vol. 18.2014, 2, p. 143-161
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Subject: | International Monetary Transmission Mechanism | Global Liquidity | Foreign Portfolio Investment Inflows | Quantitative Easing | Portfolio-Investition | Foreign portfolio investment | Wechselkurs | Exchange rate | Kapitalmobilität | Capital mobility | Geldpolitik | Monetary policy | Liquidität | Liquidity | Kapitalimport | Capital imports | Welt | World | Geldpolitische Transmission | Monetary transmission | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Schwellenländer | Emerging economies | Internationaler Finanzmarkt | International financial market |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.11644/KIEP.JEAI.2014.18.2.278 [DOI] hdl:11159/324 [Handle] |
Classification: | E51 - Money Supply; Credit; Money Multipliers ; F32 - Current Account Adjustment; Short-Term Capital Movements ; F42 - International Policy Coordination and Transmission |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011568335
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