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
Table of Contents:
  • 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.
  • 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.
  • 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.
  • 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.