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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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Bibliographic Info

Paper provided by National Bank of Belgium in its series Working Paper Research with number 142.

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

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Cited by:
  1. Guarda, Paolo & Jeanfils, Philippe, 2012. "Macro-Financial Linkages: evidence from country-specific VARs," CEPR Discussion Papers 8875, C.E.P.R. Discussion Papers.
  2. Arratibel, Olga & Michaelis, Henrike, 2013. "The Impact of Monetary Policy and Exchange Rate Shocks in Poland: Evidence from a Time-Varying VAR," Discussion Papers in Economics 21088, University of Munich, Department of Economics.
  3. Marie-Louise Djigbenou, 2014. "Determinants of Global Liquidity Dynamics:a FAVAR approach," Working Papers hal-00956314, HAL.
  4. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers 201224, University of Pretoria, Department of Economics.
  5. Berg, Tim Oliver, 2014. "Time Varying Fiscal Multipliers in Germany," MPRA Paper 57223, University Library of Munich, Germany.

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