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    The spillover of shadow interest rate to the excess returns in emerging markets by Oguzhan Ozcelebi, Mehmet Tevfik Izgi

    Published 2021-10-01
    “…This study employs 206 daily observations, from February 22, 2002, to July 5, 2019 sourced from The Barclays database and the Reserve Bank of New Zealand Findings - This study finds that the shocks in shadow interest rates will decrease the Barclays Benchmark EM FX Trend Excess Return Index (FXERI) and the Barclays Cross Asset Trend Index – EM FX ER (CRASERI) in the short term. …”
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