Arbeitspapier
Understanding global liquidity
We explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor loadings, we achieve a structural identification of the factors. The results suggest that global liquidity conditions are largely driven by three common factors and can therefore not be summarised by a single indicator. These three factors can be identified as global monetary policy, global credit supply and global credit demand.
- ISBN
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978-3-86558-884-5
- Language
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Englisch
- Bibliographic citation
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Series: Bundesbank Discussion Paper ; No. 03/2013
- Classification
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Wirtschaft
Financial Markets and the Macroeconomy
- Subject
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global liquidity
monetary policy
credit supply
credit demand
international business cycles
factor model
sign restrictions
- Event
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Geistige Schöpfung
- (who)
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Eickmeier, Sandra
Gambacorta, Leonardo
Hofmann, Boris
- Event
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Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
-
2013
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Eickmeier, Sandra
- Gambacorta, Leonardo
- Hofmann, Boris
- Deutsche Bundesbank
Time of origin
- 2013
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