Download or read book The Liquidity and Liquidity Distribution Effects in Emerging Markets written by Jérôme Vandenbussche and published by International Monetary Fund. This book was released on 2009-10-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the determinants of daily changes in Jordan's interbank market overnight rate. It not only quantifies the classic liquidity effect, but also uncovers a liquidity distribution effect on both sides of the market, and shows that their magnitude is a decreasing and convex function of the level of excess reserves. It finds that the volatility of rate changes depends much more on the reserve surplus accumulated within a maintenance period than on the level of excess reserves. As Carpenter and Demiralp (2006), it uses the series of the central bank's daily forecast errors to identify the liquidity effect.
Download or read book Global Liquidity Transmission to Emerging Market Economies and Their Policy Responses written by Woon Gyu Choi and published by International Monetary Fund. This book was released on 2017-10-30 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper distills and identifies global liquidity (GL) momenta from the macro-financial data of advanced economies through a factor model with sign restrictions as policy-driven, market-driven, and risk averseness factors. Using a panel factor-augmented VAR, we investigate responses of emerging market economies (EMEs) to GL shocks. A policy-driven liquidity increase boosts growth in EMEs, elevating stock prices and currency values, while a risk averseness rise has an opposite effect. A market-driven GL expansion boosts stock markets and lowers funding costs, promoting competitiveness and current account. Inflation targeting EMEs fare better than EMEs under alternative regimes with respect to macrofinancial volatility.
Download or read book Global Liquidity written by Mr.Akito Matsumoto and published by International Monetary Fund. This book was released on 2011-06-01 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is global liquidity and how does it affect an economy? The paper addresses that question by looking at liquidity from two different perspectives: global liquidity as availability of funds in safe and risky asset markets. This distinction between safe and risky asset markets is important due to market segmentation, which called for unconventional monetary policy to restore a function of risky asset markets. To analyze the effect of global liquidity, I construct proxy variables and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk premium. Using the data from four major Latin American countries, I find that these two aspects of global liquidity have similar effects on economic performance in emerging market economies except for their effect on inflation.
Download or read book Managing Elevated Risk written by Iwan J. Azis and published by Springer. This book was released on 2014-12-11 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the risks and opportunities that arise in Emerging Asia given the context of a new environment in global liquidity and capital flows. It elaborates on the need to ensure financial and overall economic stability in the region through improved financial regulation and other policy measures to minimize the emergent risks. "Managing Elevated Risk: Global Liquidity, Capital Flows, and Macroprudential Policy—An Asian Perspective" also explores the range of policy options that may be deployed to address the impact of global liquidity on domestic financial and socio-economic conditions including income inequality. The book is primarily aimed at policy makers, financial market regulators and supervisory agencies to help them improve national regulatory systems and to promote harmonization of national regulations and practices in line with global standards. Scholars and researchers will also gain important information and knowledge about the overall impacts of changing global liquidity from the book.
Download or read book The Liquidity and Liquidity Distibution Effects Emerging Markets written by Jérôme Vandenbussche and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Distributional Effects of Crises written by Marina Halac and published by World Bank Publications. This book was released on 2003 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises affect income distribution by way of different channels. The authors argue that financial transfers are an important channel which has been overlooked by the literature. They study the role of financial transfers by analyzing some of the most severe Latin American crises during the past decades (Chile 1981-83, Mexico 1994-95, Ecuador 1998-2000, Argentina 2001-02, and Uruguay 2002). First, the authors investigate transfers to the financial sector-those from nonparticipants to participants of the financial sector. Second, they explore who receives these financial transfers by identifying the winners and losers within the financial sector. Their analysis suggests that financial transfers during crises are large and expected to increase income inequality.
Download or read book Global Liquidity Risk Premiums and Growth Opportunities written by Gianni De Nicolò and published by . This book was released on 2009 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Annotation This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and comovements, and assesses the extent to which such measures are determinants of selected spreads and proxy measures of countries' growth opportunities. Three main results obtain. First, there is evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity indicators appear to be important determinants of bond spreads in advanced economies and EMBI spreads in emerging markets. Third, improvements in market liquidity have significant real effects, as liquidity indicators have a significant positive impact on proxy measures of countries' growth opportunities.
Download or read book The Long Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets written by Delong Li and published by International Monetary Fund. This book was released on 2021-06-04 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate bonds with lower ratings, shorter maturities, and for those issued by financial companies and government-related firms. Our results support theoretical arguments that corporate and sovereign yields are linked together through credit risks and liquidity premiums. Consequently, high sovereign risks may slowdown growth by persistently increasing private sector borrowing costs.
Download or read book Financial Distortions and the Distribution of Global Volatility written by Maya Rachel Eden and published by . This book was released on 2011 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, I study the interactions between various aspects of the financial system and macroeconomic volatility in a globally integrated environment. In Chapter 1, I illustrate that an efficient allocation of liquidity across projects mitigates the economy's responsiveness to global liquidity supply shocks. Emerging economies in which the allocation of liquidity is distorted serve as a buffer zone that insulates developed economies from shocks to global liquidity supply. This suggests that, when functioning properly, the financial system in the developed world increases its stability by facilitating the efficient allocation of liquidity. However, I illustrate that in a global environment in which funding is cheap, the financial system will endogenously deteriorate and cease to carryout this role effectively. The conclusion is twofold: first, an efficient allocation of liquidity has a stabilizing effect on macroeconomic fluctuations. Second, in a low interest rate environment, the economy cannot rely on the financial system to maintain the capacity to implement an efficient allocation. In Chapter 2, I suggest that intermediation need not be necessary in order to achieve an efficient allocation of liquidity; by setting an appropriately high tax on production or subsidy on unproductive savings, the government can manipulate the equilibrium prices of production inputs such that an efficient allocation of resources is achieved. Compared to the optimal policy benchmark, the equilibrium financial system absorbs too many productive resources. Further, the mere existence of a financial system induces unnecessary macroeconomic volatility in the form of liquidity shortages and surges in unemployment. I conclude that while the efficient allocation of liquidity is important both for the level of output and for output stability. financial intermediation is an inferior way to achieve it. In Chapter 3, I study the distributional implications of allowing for the intermediation of liquidity from developed to emerging economies. Liquidity suppliers from developed economies extract rents from supplying liquidity to constrained entrepreneurs in emerging markets. Financial integration is therefore associated with a regressive transfer of surplus from emerging to developed economies. Further, as input prices in emerging economies appreciate following the inflow of liquidity, producers in emerging economies become increasingly reliant on foreign liquidity; a sudden reluctance of foreigners to supply liquidity results in a drop in output and consumption. Financial integration therefore not only decreases equilibrium consumption in emerging economies., but also increases the volatility of consumption due to shocks to external funding.
Download or read book Global Liquidity and Financial Flows to Developing Countries written by C. P. Chandrasekhar and published by . This book was released on 2008 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper attempts to examine: (i) the factors responsible for this revival and surge in capital flows into developing countries; (ii) the qualitative changes in financial integration that are accompanying this surge; and (iii) the impact that this surge is having on financial volatility and vulnerability, macroeconomic management and growth, in countries that have been "successful" in attracting such flows. It argues that in the wake of financial liberalization that facilitates cross-border flows of capital, supply-side factors rather than the financing requirements of developing countries, explain the surge. Financial liberalization and the globalization of finance, have also resulted in changes in the financial structure-the markets, institutions and instruments that define the global financial architecture-that are increasing risk and financial fragility. Associated with this increasing risk, are changes in the business practices and motivations of financial firms that reduce the role of finance in ensuring broad-based economic growth.--Publisher's description.
Download or read book Poor s Ratings written by and published by . This book was released on 1926 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management written by Anil Bangia and published by . This book was released on 2008 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market risk management traditionally has focussed on the distribution of portfolio value changes resulting from moves in the midpoint of bid and ask prices. Hence the market risk is really in a quot;purequot; form: risk in an idealized market with no quot;frictionquot; in obtaining the fair price. However, many markets possess an additional liquidity component that arises from a trader not realizing the mid-price when liquidating her position, but rather the mid-price minus the bid-ask spread. We argue that liquidity risk associated with the uncertainty of the spread, particularly for thinly traded or emerging market securities under adverse market conditions, is an important part of overall risk and is therefore an important component to model.We develop a simple liquidity risk methodology that can be easily and seamlessly integrated into standard value-at-risk models, and we show that ignoring the liquidity effect can produce underestimates of market risk in emerging markets by as much as 25-30%. Furthermore, we show that the BIS inadvertently is already monitoring liquidity risk, and that by not modeling it explicitly and therefore capitalizing against it, banks will be experiencing surprisingly many violations of capital requirements, particularly if their portfolios are concentrated in emerging markets.
Download or read book Market Liquidity written by Yakov Amihud and published by Cambridge University Press. This book was released on 2013 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.
Download or read book External Vlnarability in Emerging Market Economies how High Liquidity Can Offset Fundamentals and the Effects of Contagion written by Matthieu Bussière and published by . This book was released on 1999 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Liquidity Risk Premiums and Growth Opportunities written by Gianni De Nicolo and published by . This book was released on 2013 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and co-movements, and assesses the extent to which such measures are determinants of selected spreads and proxy measures of countries' growth opportunities. Three main results obtain. First, there is evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity indicators appear to be important determinants of bond spreads in advanced economies and EMBI spreads in emerging markets. Third, improvements in market liquidity have significant real effects, as liquidity indicators have a significant positive impact on proxy measures of countries' growth opportunities.
Download or read book The Effect of Continuity and Order book Visibility on the Liquidity Distribution of a Market written by Kaj Hedvall and published by . This book was released on 1992 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Gross Private Capital Flows to Emerging Markets written by Erlend Nier and published by International Monetary Fund. This book was released on 2014-10-27 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses empirically the key drivers of private capital flows to a large sample of emerging market economies in the last decade. It analyzes the effect of the global financial cycle, measured by the VIX, on capital flows and investigates the role of fundamentals and country characteristics in mitigating or amplifying its effect. Using interaction models, we find the effect of the VIX to be non-linear. For low levels of the VIX, capital flows are driven by fundamental factors. During periods of stress, the VIX becomes the dominant driver of capital flows while other determinants, with the exception of interest rate differentials, lose statistical significance. Our results also suggest that the effect of global financial conditions on gross private capital flows increases with the host country’s level of financial sector development. Finally, our results imply that countries cannot fully insulate themselves from global financial shocks, unless creating a fragmented global financial system.
