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Journals / Ankara Üniversitesi SBF Dergisi / 2010 / Cilt: 65 - Sayı: 4

The effects of global liquidity from the point of Eurobond returns of some emerging market countries

Küresel mali dalgalanmalar: Gelişen ülkelerin Euro-tahvil getirileri açısından bir değerlendirme

Evrim ERTUNGA İMER
Pages
67–86
Publication Date
2022-10-11
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The distinctive feature of this study that this is one of the pioneering studies for the partialeffects of thresholds among the volatility of EMBIG returns, applying the discrete dependent variable modelof panel probit among selected emerging market countries.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study provides a general view for the propagation arising from global liquidity and examinessome of the recent effects of it by using the daily Eurobond rates of some emerging market countries.
📊
Key Findings & Data:Theemprical 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.
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Conclusion & Impact:The distinctive feature of this study that this is one of the pioneering studies for the partialeffects of thresholds among the volatility of EMBIG returns, applying the discrete dependent variable modelof panel probit among selected emerging market countries.
🔬Design:Modeling & Simulation
📍Scope:2007 Verileri
⚙️Variables:Domain Parameters

Abstract

This study provides a general view for the propagation arising from global liquidity and examinessome of the recent effects of it by using the daily Eurobond rates of some emerging market countries. Theemprical 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 highfrequency database covers the period between January 1999 and March 2007. Before making the empiricalanalyses, Augmented Dickey-Fuller (ADF) tests were made for stationarity of the database. Then, someempirical analyses, namely correlations, Granger causality, panel probit, were made and the results wereassessed. In these empirical analyses, it is aimed to find some answers of the questions about the emergingmarkets countries capital movements arising from the global financial volatility within the framework ofglobal liquidity. The distinctive feature of this study that this is one of the pioneering studies for the partialeffects of thresholds among the volatility of EMBIG returns, applying the discrete dependent variable modelof panel probit among selected emerging market countries.

Özet

Bu çalışmada, küresel mali dalgalanmalar kapsamında, küresel likidite kavramı incelenmekte vegünlük Euro-tahvil verileri kullanılarak küresel mali dalgalanmaların yayılması kapsamındaki bulgulardeğerlendirilmektedir. Bu amaçla önce Ocak 1999- Mart 2007 arasındaki Brezilya, Meksika, Rusya,Macaristan, Malezya, Güney Afrika ve Türkiye’nin EMBIG Endeksleri ile ABD 10 yıllık hazine tahvilifaizlerine dayanan yüksek frekanslı bir veri seti oluşturulmuştur. Verilerin durağanlığı için AugmentedDickey-Fuller (ADF) sınamalarına başvurulmuştur. Daha sonra bu veri seti kullanılarak korelasyon, Grangernedenselliği ve panel probit uygulamaları yapılmış ve ortaya çıkan bulgular değerlendirilmiştir.Uygulamalarda ve değerlendirmelerde küresel mali dalgalanmalarda rol oynayan küresel likiditehareketlerinin gelişen ülkelerin sermaye akışında yayılmaya yol açıp açmadığıyla ilgili olarak ortaya koyulansoruların yanıtlanması amaçlanmıştır. Mali dalgalanmalar (ele alınan ülkeler kapsamında) panel probityöntemiyle ilk kez bu çalışmada açıklanmaya çalışılmaktadır

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Cite This Article

İMER, E. E. (2022). The effects of global liquidity from the point of Eurobond returns of some emerging market countries. Ankara Üniversitesi SBF Dergisi, Cilt: 65 - Sayı: 4, 67–86. https://ajindex.com/articles/443162

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