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Spillover effects of global liquiditys expansion on emerging countries: evidences from a Panel VAR approach

Author

Listed:
  • Nady Rapelanoro
Abstract
The attention for the global liquidity concept has grown over the recent years insofar as its dramatic increase is considered among regulators and economists as one of the possible determinants of the last global financial crisis. Although global liquidity remains without a generally accepted definition in the literature, the destabilizing effects of its expansion are widely studied, especially for the advanced economies. However, empirical studies regarding the consequences in the emerging countries are scarcer and this paper is related to this topic. We rely on a Panel VAR approach to investigate those effects on emerging economies and we find that the consequences are in line with the results of the literature on advanced countries. Nevertheless, contrary to previous empirical studies, we find that the choice of the exchange rate regimes is not important, as the exchange rate regime does not fully isolate the countries from a surge of global liquidity in the issuing countries.

Suggested Citation

  • Nady Rapelanoro, 2016. "Spillover effects of global liquiditys expansion on emerging countries: evidences from a Panel VAR approach," EconomiX Working Papers 2016-17, University of Paris Nanterre, EconomiX.
    • Handle: RePEc:drm:wpaper:2016-17
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Global liquidity; emerging countries; international spillovers; Panel VAR model.;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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