KÜRESEL MALİ DALGALANMALAR: GELİŞEN ÜLKELERİN EURO-TAHVİL GETİRİLERİ AÇISINDAN BİR DEĞERLENDİRME

İmer-Ertunga, Evrim (2010): KÜRESEL MALİ DALGALANMALAR: GELİŞEN ÜLKELERİN EURO-TAHVİL GETİRİLERİ AÇISINDAN BİR DEĞERLENDİRME. Published in: Ankara Üniversitesi SBF Dergisi , Vol. 4, No. 65 : pp. 68-85.

Abstract

This study provides a general view for the propagation arising from global liquidity and examines some of the recent effects of it by using the daily Eurobond rates of some emerging market countries. The emprical analysis is based on the database which includes the daily EMBIG indices of Brazil, Mexico, Russia, Hungary, Malaysia, South Africa and Turkey and the U.S. ten-year treasury bond rates. The high frequency database covers the period between January 1999 and March 2007. Before making the empirical analyses, Augmented Dickey-Fuller (ADF) tests were made for stationarity of the database. Then, some empirical analyses, namely correlations, Granger causality, panel probit, were made and the results were assessed. In these empirical analyses, it is aimed to find some answers of the questions about the emerging markets countries capital movements arising from the global financial volatility within the framework of global liquidity. The distinctive feature of this study that this is one of the pioneering studies for the partial effects of thresholds among the volatility of EMBIG returns, applying the discrete dependent variable model of panel probit among selected emerging market countries.

• Item Type: MPRA Paper
• English Title: The Effects of Global Liquidity from the point of Eurobond Returns of Some Emerging Market Countries
• Language: Turkish
• Keywords: Global liquidity, Eurobond returns, correlation, Granger Causality, panel probit
• Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

References

many