Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/234869
Authors: 
Herwartz, Helmut
Ochsner, Christian
Rohloff, Hannes
Year of Publication: 
2021
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 15-2021
Abstract: 
We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic factor model. Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows directed at businesses, households and governments. We show that this decomposition enhances the understanding of global liquidity considerably. Whereas global government sector credit supply is best understood as a safe-haven lending factor from an investors perspective, lenders supply the businesses and households with credit to maximize profits along the financial cycle. Moreover, the government sector demands credit in times of bust-episodes, whereas private entities demand credit in times of booms. In particular, we find that our global credit estimates explain substantial variance shares of a large panel of international financial aggregates.
Subjects: 
global liquidity
credit composition
financial cycle
dynamic factor model
JEL: 
C32
C38
E32
E44
E51
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.