Global liquidity transmission to emerging market economies, and their policy responses

• 成果类型: Article
• 署名作者: Choi, Woon Gyu; Kang, Taesu; Kim, Geun-Young; Lee, Byongju
• 署名单位: International Monetary Fund; Bank of Korea; Bank of Korea
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.08.001
• 发表日期: 2017
• 页码: 153-166
• 关键词: Global liquidity; Emerging market economies; Panel factor-augmented VAR; inflation targeting

摘要

This paper analyzes the transmission of global liquidity (GL) from advanced economies (AEs) to emerging market economies (EMEs). We distill GL momenta from the macro-financial data of AEs through a factor model and identify them with sign restrictions as policy-driven, market-driven, and risk averseness factors. Using a panel factor-augmented VAR analysis, we then investigate EME responses to shocks to GL momenta. A positive shock to policy-driven liquidity boosts growth in EMEs, elevating stock prices and currency values, while a shock to risk averseness has a largely opposite effect. A market-driven GL expansion boosts stock markets and lowers funding costs, increasing competitiveness and current account balance. Inflation targeting EMEs are found to fare better than EMEs under alternative regimes in terms of macro-financial volatility. (C) 2017 Elsevier B.V. All rights reserved.