Global financial conditions and asset markets: Evidence from fragile emerging economies

Does Push Factor Determine Capital Flow to Emerging Markets during Financial Crisis?

“…And Yildirim (2016) examines the effects of global financial conditions on asset markets in the fragile five economies (Brazil, Indonesia, India, Turkey and South Africa). Using a Structural Vector Auto Regression model with a block exogeneity procedure employing high-frequency daily data, from January 2, 2006 to August 31, 2015.…”

“…Amstad et al (2015) find global risk is very influential and very dominant in determining sovereign CDS spreads. Yildirim (2016) finds global financial risk shocks have significant effects on financial condition and asset markets.…”

“…The method used in this study is review of literature. We firstly investigate five previous literatures on Latin America and Asia crises and then focus on six main literatures that related to GFC such as researches done by Gonzales-Hermosillo (2008); Fratzscher (2012); Kim et al (2013); Ahmed and Zlate (2014); Amstad et al (2015); and Yildirim (2016).…”

“…Many EMEs show an increase in capital inflow, an increase in stock prices, a fall in sovereign debt yield, appreciation of currency and a rise in non-financial corporate debt (Lo Duca et al 2014;Fratzscher et al 2013). According to Yildirim (2016) between the early periods of crisis until May 2013, low risk aversion has occurred on global financial markets so that the UMP contributes to substantial capital inflows to EMEs. Glick and Leduc (2012) show that announcement of QE policy has reduced long-term interest rates and depreciation of US Dollar and British Pound.…”

“…During May 21 to December 31, 2013 there was a change in market sentiment that affected financial markets conditions in EMEs. Also there was a sharp increase in global risk aversion (Yildirim 2016). In TT period there was chaos (turmoil) on bonds, stocks, sovereign Credit Default Swaps (CDS) and foreign exchange markets in EMEs triggered by outflow portfolio (Mishra et al2014;Sahay et al2014).…”