We use panel VAR methods to gauge the impact of global liqudity on emerging markets.We find that the channel of global liqudity transmission has changed from onshore issuance of international debt securities to offshore issuance of international debt securities; offshore issuance plays an important role after 2010. We also find that global liqudity shocks have positive effects on real GDP and net issuance of international debt securities of receipient economies but negative effects on sovereign bond yield of receipient economies.
Offshore EME bond issuance and the transmission channels of global liquidity
Submitted by Staff on December 09, 2015
|Date: September 30, 2015|
|Author(s): Soyoung Kim, Hyun Song Shin|
|Affiliation: Seoul National University - Bank for International Settlements|