Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70924
Authors: 
Eickmeier, Sandra
Gambacorta, Leonardo
Hofmann, Boris
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 03/2013
Abstract: 
We explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor loadings, we achieve a structural identification of the factors. The results suggest that global liquidity conditions are largely driven by three common factors and can therefore not be summarised by a single indicator. These three factors can be identified as global monetary policy, global credit supply and global credit demand.
Subjects: 
global liquidity
monetary policy
credit supply
credit demand
international business cycles
factor model
sign restrictions
JEL: 
E5
E44
F3
C3
ISBN: 
978-3-86558-884-5
Document Type: 
Working Paper

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