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

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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," MPRA Paper 44049, University Library of Munich, Germany.
  2. Sophie Brana & Marie-Louise Djibenou & Stéphanie Prat, 2012. "Global excess liquidity and asset prices in emerging countries: a pvar approach," Working Papers hal-00740102, HAL.
  3. 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 Financial Crisis impact the Saudi Arabia Economy? SVAR Model Analysis]
    ," MPRA Paper 56358, University Library of Munich, Germany, revised 23 Nov 2011.
  4. Uluc Aysun & Ralf Hepp, 2010. "Securitization and the Balance Sheet Channel of Monetary Transmission," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics dp2010-05, Fordham University, Department of Economics.
  5. Hoffmann, Andreas, 2013. "Did the Fed and ECB react asymmetrically with respect to asset market developments?," Journal of Policy Modeling, Elsevier, Elsevier, vol. 35(2), pages 197-211.
  6. 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, Elsevier, vol. 26(C), pages 145-155.
  7. 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.
  8. L. Effie Psalida & Tao Sun, 2011. "Does G-4 Liquidity Spill Over?," IMF Working Papers 11/237, International Monetary Fund.
  9. Ratti, Ronald A & Vespignani, Joaquin L., 2013. "Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach," Working Papers, University of Tasmania, School of Economics and Finance 17096, University of Tasmania, School of Economics and Finance, revised 09 Jan 2013.
  10. Ratti, Ronald A. & Vespignani, Joaquin L., 2013. "Why are crude oil prices high when global activity is weak?," Economics Letters, Elsevier, vol. 121(1), pages 133-136.
  11. 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.
  12. Ratti, Ronald A & Vespignani, Joaquin L., 2013. "Why crude oil prices are high when global activity is weak?," Working Papers, University of Tasmania, School of Economics and Finance 2013-01, University of Tasmania, School of Economics and Finance, revised 20 Mar 2013.
  13. Marie-Louise Djigbenou, 2014. "Determinants of Global Liquidity Dynamics:a FAVAR approach," Working Papers hal-00956314, HAL.
  14. Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "US Monetary Policy and Commodity Sector Prices," Working Papers 2014-438, Department of Research, Ipag Business School.

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