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

被引：0

作者：

Gunay, Samet ^{[1
]}

Domotor, Barbara ^{[1
]}

Vig, Attila Andras ^{[1
]}

机构：

[1] Corvinus Univ Budapest, Inst Finance, Budapest, Hungary

来源：

EMERGING MARKETS REVIEW | 2025年 / 65卷

关键词：

MODWT; Wavelet coherence; TVP-VAR frequency connectedness; Emerging market's financial stress; FX market liquidity and uncertainty; Investment horizon; STOCK-MARKET; FINANCIAL STRESS; EXCHANGE-RATE; WAVELET COHERENCE; SAFE HAVEN; TIME; VOLATILITY; CONTAGION; SPILLOVERS; COUNTRIES;

D O I：

10.1016/j.ememar.2025.101262

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：36

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