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Implied Liquidity Estimation (in Korean)

Author

Listed:
  • Joon Myoung Woo

    (Research Department, The Bank of Korea)

  • Jieun Lee

    (Economic Research Institute, The Bank of Korea)

Abstract

This paper proposes a new method of estimating implied liquidity that reflects the real business cycles by using three measures of liquidity?bank credit, M2 and Lf, and examines the relationship between the implied liquidity and macroeconomic variables. Our empirical results show that each liquidity measure, especially bank credit was greater than the implied liquidity estimates before the global financial crisis and then has come to move around the implied liquidity since 2012. We also find that a positive shock on real GDP leads to an increase in liquidity including the implied liquidity and further increases in house prices and inflation, and that a positive shock on liquidity has more significant impacts on house prices rather than inflation. Overall, these results indicate that this new measure that captures the multi-dimensionality of liquidity, which is differentiated from previous studies, can provide a good reference to evaluate the extent to which actual liquidity deviates from its equilibrium.

Suggested Citation

  • Joon Myoung Woo & Jieun Lee, 2016. "Implied Liquidity Estimation (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 22(4), pages 38-75, December.
    • Handle: RePEc:bok:journl:v:22:y:2016:i:4:p:38-75
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    More about this item

    Keywords

    Implied liquidity; Bank credit; Monetary aggregate dynamic factor model; Gibbs sampling;
    All these keywords.

    JEL classification:

    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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