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Liquidity and the dynamic pattern of asset price adjustment: A global view

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  • Belke, Ansgar
  • Orth, Walter
  • Setzer, Ralph

Abstract

Global liquidity expansion has been very dynamic since 2001. Contrary to conventional wisdom, high money growth rates have not coincided with a concurrent rise in goods prices. At the same time, however, asset prices have increased sharply, significantly outpacing the subdued development in consumer prices. We investigate the interactions between money and goods and asset prices at the global level. Using aggregated data for major OECD countries, our VAR results support the view that different price elasticities on asset and goods markets explain the observed relative price change between asset classes and consumer goods.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 34 (2010)
Issue (Month): 8 (August)
Pages: 1933-1945

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Handle: RePEc:eee:jbfina:v:34:y:2010:i:8:p:1933-1945

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Web page: http://www.elsevier.com/locate/jbf

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Keywords: Global liquidity Inflation control Monetary policy transmission Asset prices;

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References

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Citations

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Cited by:
  1. Ratti, Ronald A & Vespignani, Joaquin L., 2012. "Crude Oil Prices and Liquidity, the BRIC and G3 countries," Working Papers 15727, University of Tasmania, School of Economics and Finance, revised 17 Dec 2012.
  2. Hoffmann, Andreas, 2012. "Did the Fed and ECB react asymmetrically with respect to asset market developments?," Working Papers 103, University of Leipzig, Faculty of Economics and Management Science.
  3. Yang, Lu & Hamori, Shigeyuki, 2014. "Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 145-155.
  4. Aysun, Uluc & Hepp, Ralf, 2011. "Securitization and the balance sheet channel of monetary transmission," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2111-2122, August.
  5. Ratti, Ronald A & Vespignani, Joaquin L., 2013. "Why crude oil prices are high when global activity is weak?," Working Papers 2013-01, University of Tasmania, School of Economics and Finance, revised 20 Mar 2013.
  6. L. Effie Psalida & Tao Sun, 2011. "Does G-4 Liquidity Spill Over?," IMF Working Papers 11/237, International Monetary Fund.
  7. Ratti, Ronald A & Vespignani, Joaquin L., 2012. "Why are crude oil prices high when global activity is weak?," MPRA Paper 43777, University Library of Munich, Germany.
  8. Ronald A. Ratti & Joaquin L. Vespignani, 2014. "Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach," CAMA Working Papers 2014-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  9. Sophie Brana & Marie-Louise Djigbenou & Stéphanie Prat, 2012. "Global excess liquidity and asset prices in emerging countries: a pvar approach," Larefi Working Papers 1203, Larefi, Université Bordeaux 4.
  10. Ghassan, Hassan B. & Taher, Farid B. & AlDehailan, Salman, 2010. "هل تؤثر الأزمة المالية العالمية في الاقتصاد السعودي؟ تلحيل عبر نموذج التقهقر الذاتي البنيوي
    [Does the International Fin
    ," MPRA Paper 56358, University Library of Munich, Germany, revised 23 Nov 2011.
  11. Marie-Louise Djigbenou, 2014. "Determinants of Global Liquidity Dynamics:a FAVAR approach," Working Papers hal-00956314, HAL.
  12. Ronald A. Ratti & Joaquin L. Vespignani, 2014. "Oil prices and the economy: A global perspective," CAMA Working Papers 2014-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  13. Belke, Ansgar H. & Bordon, Ingo G. & Hendricks, Torben W., 2014. "Monetary policy, global liquidity and commodity price dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 1-16.

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