{"title":"Investigation of emerging market stress under various frequency bands: Evidence from FX market uncertainty and liquidity","authors":"Samet Gunay, Barbara Dömötör, Attila András Víg","doi":"10.1016/j.ememar.2025.101262","DOIUrl":null,"url":null,"abstract":"<div><div>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 short-term 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.</div></div>","PeriodicalId":47886,"journal":{"name":"Emerging Markets Review","volume":"65 ","pages":"Article 101262"},"PeriodicalIF":5.6000,"publicationDate":"2025-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Emerging Markets Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1566014125000111","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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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 short-term 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.
期刊介绍：
The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.
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