Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153130
Authors: 
Rüffer, Rasmus
Stracca, Livio
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper 696
Abstract: 
This paper endeavours to provide a comprehensive analysis of the nature and the possible importance of “global excess liquidity”, a concept which has attracted considerable attention in recent years. The contribution of this paper is threefold. First, we present some conceptual discussion on the meaning of excess liquidity in advanced countries with developed financial markets. Second, we report some descriptive analysis on the degree of co-movement of several possible measures of excess liquidity and spill-overs between them for a relatively large sample of industrialised and developing countries. Third, we estimate a VAR model for an aggregate of the major industrialised countries and analyse the transmission of shocks to global excess liquidity to the global economy, including possible cross-border spill-over effects to a number of domestic variables in the world’s three largest economies (the US, the euro area and Japan).
Subjects: 
Global excess liquidity
international economics
monetary policy
open economy
JEL: 
E52
F42
Document Type: 
Working Paper

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