Liquidity and macroeconomic management in emerging markets

Emerging Markets and Macroeconomic Volatility: Conference Summary

sented at the conference on “Emerging Markets and Macroeconomic Volatility: Lessons from a Decade of Financial Debacles” held at the Federal Reserve Bank of San Francisco on June 4–5, 2004, under the joint sponsorship of the Bank’s Center for Pacific Basin Studies and the University of Maryland’s Center for International Economics.The papers are listed at the end and are available at http://www...

Liquidity and Expected Returns: Lessons from Emerging Markets

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We find that it significantly predicts future returns, whereas alternative measures such as turnover do n...

Banks, Markets and Liquidity

The banking sector is one of the most highly regulated sectors in the economy. However, in contrast to other regulated sectors there is no wide agreement on the market failures that justify regulation. We suggest that there are two important failures. The fi rst is a coordination problem that arises because of multiple equilibria. If people believe there is going to be a panic then that can be ...

Macroeconomic Patterns in System-Wide Liquidity Regimes

This research seeks statistical commonalities in market liquidity across a range of corporate equities and bond markets and commodity futures markets, with an aim to better understanding system-level patterns in aggregate or funding liquidity that arise from broad patterns in market liquidity. We present a Bayesian estimation of hidden Markov chain (HMC) models to measure the latent structure o...

Indian Macroeconomic Management At the Crossroads Between Government and Markets