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

Gunay, Samet, Dömötör, Barbara Mária and Víg, Attila András (2025) Investigation of emerging market stress under various frequency bands : Evidence from FX market uncertainty and liquidity. Emerging Markets Review, 65 . DOI 10.1016/j.ememar.2025.101262

PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
21MB

Official URL: https://doi.org/10.1016/j.ememar.2025.101262

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 shortterm 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.

Item Type:

Article

Uncontrolled Keywords:

MODWT ; Wavelet coherence ; TVP-VAR frequency connectedness ; Emerging market’s financial stress ; FX market liquidity and uncertainty ; Investment horizon

JEL classification:

G01 - Financial Crises
G15 - International Financial Markets
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

Divisions:

Faculty of Business Administration > Institute for Business Law

Subjects:

Finance

DOI:

10.1016/j.ememar.2025.101262

ID Code:

10962

Deposited By:

MTMT SWORD

Deposited On:

27 Feb 2025 14:42