Up the stairs, down in the elevator? The asymmetric response of emerging market currencies to the global liquidity cycle
研究了全球流动性周期扩张与收缩时，新兴市场货币汇率反应的非对称性，发现资本流出时货币贬值幅度大于流入时升值幅度，对投资者和政策制定者有参考价值。
Abstract This paper assesses whether there is evidence of an asymmetric relationship between the global liquidity cycle and the currencies of developing and emerging economies (DEEs), a central tenet of the Minskyan interpretation of the exchange rate behaviour in these economies and the ‘financialisation in developing and emerging economies’ literature. We use a novel panel model technique that incorporates asymmetric components to fixed-effects regressions to check if there is evidence of such asymmetry. Our results suggest that capital flows, commodity prices and the VIX have a more substantial relationship with the currencies of DEEs during the retrenchment of the global liquidity cycle than during its expansionist phase. In other words, our results suggest that the currencies of DEEs take the stairs up and the elevator down.