Investigation of emerging market stress under various frequency bands: Evidence from FX market uncertainty and liquidity

IF 4.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2025-02-08 DOI:10.1016/j.ememar.2025.101262

Samet Gunay, Barbara Dömötör, Attila András Víg

引用次数: 0

Abstract

This study investigates the relationship between Emerging Markets Financial Stress Index (EMFSI) and currency returns, uncertainty and liquidity of eight emerging economies, using MODWT, Wavelet Coherence, TVP-VAR analyses. The results indicate that interactions become more pronounced during political events rather than economic developments. Energy market developments also appear to be significant periods for the interaction of variables, especially for Saudi Arabia and the UAE. Finally, the findings related to investment horizon suggest that short-term spillovers may be linked to medium- to long-term correlations between the EMFSI and currency pairs. This could serve as an early warning for policymakers and investors.

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不同频带下新兴市场压力的调查：来自外汇市场不确定性和流动性的证据

本文运用MODWT、小波相干性、TVP-VAR等分析方法，研究了新兴市场金融压力指数（EMFSI）与八个新兴经济体货币收益、不确定性和流动性之间的关系。结果表明，在政治事件而不是经济发展期间，相互作用变得更加明显。能源市场的发展似乎也是变量相互作用的重要时期，特别是对沙特阿拉伯和阿联酋而言。最后，与投资周期相关的研究结果表明，短期溢出效应可能与EMFSI和货币对之间的中长期相关性有关。这可以作为政策制定者和投资者的早期预警。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.