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Liquidity, inflation and asset prices in a time-varying framework for the euro area

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Author Info
Christiane Baumeister () (Ghent University)
Eveline Durinck () (Ghent University)
Gert Peersman () (Ghent University)
Abstract

In this paper, we investigate how the dynamic effects of excess liquidity shocks on economic activity, asset prices and inflation differ over time. We show that the impact varies considerably over time, depends on the source of increased liquidity (M1, M3-M1 or credit) and the underlying state of the economy (asset price boom-bust, business cycle, inflation cycle, credit cycle and monetary policy stance).

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File URL: http://www.nbb.be/doc/oc/repec/reswpp/wp142En.pdf
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Publisher Info
Paper provided by National Bank of Belgium in its series Research series with number 200810-17.

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Length: 55 pages
Date of creation: Oct 2008
Date of revision:
Handle: RePEc:nbb:reswpp:200810-17

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Related research
Keywords: Liquidity; asset prices; inflation; time-varying coefficients;

Find related papers by JEL classification:
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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