SPILLOVER EFFECTS OF GLOBAL LIQUIDITY'S EXPANSION ON EMERGING COUNTRIES: EVIDENCES FROM A PANEL VAR APPROACH
Nady Rapelanoro
Doctor, Central Bank of Madagascar, Madagascar
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.
Keywords: Global liquidity; Emerging countries; International spillovers; Panel VAR model; Vector Autoregressive model.
Journal Name :
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EPRA International Journal of Economics, Business and Management Studies (EBMS)
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Published on : 2024-11-11
Vol | : | 11 |
Issue | : | 11 |
Month | : | November |
Year | : | 2024 |