Global excess liquidity does it matter for house and stock prices on a global scale
AbstractThis paper investigates the relationship between global liquidity and asset prices on a global scale: how important is global liquidity? How are asset (especially house) prices and other important macro variables affected by global monetary conditions? This paper analyzes the international transmission of monetary shocks with a special focus on the effects of a global monetary aggregate (global liquidity) on different asset prices, namely houses and share prices. We estimate a variety of VAR models for the global economy using aggregated data that represent the major OECD countries. The impulse responses obtained show that a positive shock to global liquidity leads to permanent increases in the global GDP deflator and in the global house price index, with the latter reaction being even more distinctive. Moreover, we find that there are subsequent spill-over effects from house prices to consumer prices. In contrast, we are not able to find empirical evidence in favor of the hypothesis that stock prices significantly react to changes in global liquidity.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Capco Institute in its journal Journal of Financial Transformation.
Volume (Year): 24 (2008)
Issue (Month): ()
Contact details of provider:
Postal: 120 Broadway, 29th Floor New York, NY 10271
Phone: +1 212 284 8600
Web page: http://www.capco.com/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Peter Spahn, 2010. "Asset Prices, Inflation and Monetary Control - Re-inventing Money as a Policy Tool," Diskussionspapiere aus dem Institut fÃ¼r Volkswirtschaftslehre der UniversitÃ¤t Hohenheim 323/2010, Department of Economics, University of Hohenheim, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Springett).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.