Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/234869
Autoren: 
Herwartz, Helmut
Ochsner, Christian
Rohloff, Hannes
Datum: 
2021
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 15-2021
Zusammenfassung: 
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.
Schlagwörter: 
global liquidity
credit composition
financial cycle
dynamic factor model
JEL: 
C32
C38
E32
E44
E51
Dokumentart: 
Working Paper

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