Exploring the dynamics of global liquidity /

This paper explores the concept of global liquidity, its measurement and macro-financial importance. We construct two sets of indicators for global liquidity: a quantity series distinguishing between core and noncore liabilities of financial intermediaries and a corresponding price series. Using pri...

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Bibliographic Details
Corporate Author: International Monetary Fund. Strategy, Policy, and Review Department.
Other Authors: Chen, Sally F. 1973-
Format: eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, ©2012.
Series:IMF working paper ; WP/12/246.
Subjects:
Online Access:CONNECT
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500 |a Title from PDF title page (IMF Web site, viewed Oct. 16, 2012). 
520 |a This paper explores the concept of global liquidity, its measurement and macro-financial importance. We construct two sets of indicators for global liquidity: a quantity series distinguishing between core and noncore liabilities of financial intermediaries and a corresponding price series. Using price and quantity indicators simultaneously, it is possible to distinguish between shocks to the supply and demand for global liquidity, and isolate their impact on the economy. Our results confirm that global liquidity conditions matter for economic and financial stability, and points to indicators whose regular monitoring could be valuable to policymakers. 
504 |a Includes bibliographical references. 
500 |a "Strategy, Policy, and Review Department." 
500 |a "October 2012." 
505 0 |a Cover; Contents; I. Introduction; II. Literature Review; III. A New Approach to Measuring Global Liquidity; A. Quantity Measures; B. Price Measures; IV. Identifying Drivers of Global Liquidity; A. Aggregate Trends of Core and Noncore Global Liquidity; B. Country-specific Trends of Core and Noncore Liabilities; C. Trends in External Liabilities of Countries to BIS Reporting Banks; V. The Real Impact of Global Liquidity; VI. Conclusion; References; Tables; 1. Unit Root Tests of Liquidity Price and Quantity Indicators; 2. Estimation of Linear Trends. 
505 8 |a 3. Impact of Funding Shocks on Growth: Benchmark Model4. Impact of Funding Shocks on Growth: Separate Time Periods; 5. Impact of Funding Shocks on Growth: G4-Specific Impacts, Q1 1999-Q1 2011; Figures; 1. Total G4 Liquidity in Trillion Dollars and As a Ratio to GDP; 2. National Measures of the Quantity of Liquidity, Ratio to National Nominal GDP; 3. National Measures of the Quantity of Liquidity, Trillion US dollars; 4. Total External Liabilities to BIS Reporting Banks; 5. Nominal GDP Growth Rates; 6. Supply and Demand Shocks, Quantity and Price of Core Global Liquidity. 
505 8 |a 7. Supply and Demand Shocks, Quantity and Price of Noncore Global Liquidity8. Supply and Demand Shocks to Liquidity: United States and Euro Area; 9. Country-Specific Supply and Demand Shocks: United Kingdom and Japan; 10. Supply and Demand Shocks: External Liabilities of G4 Economies; 11. Supply and Demand Shocks: External Liabilities of other countries to BIS Reporting Banks; 12. Impact of Core Demand Shock on Real GDP; 13. Impact of Core Supply Shock on Real GDP; 14. Impact of Noncore Demand Shock on Real GDP; 15. Impact of Noncore Supply Shock on Real GDP; Boxes. 
505 8 |a 1. Estimation of the Noncore Liquidity Price Index2. Indentifying Demand and Supply Shocks; 3. A Panel Regression Approach to Assessing the Real Impact of Global Liquidity; 4. A VAR Approach to Assessing the Real Impact of Global Liquidity; Appendix: Measuring G4 Core and Noncore Liabilities. 
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