Liquidity and the dynamic pattern of asset price adjustment: A global view
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Beyer, A. & Doornik, J.A. & Hendry, D.F., 2000.
"Constructing Historical Euro-Zone Data,"
Economics Working Papers
eco2000/10, European University Institute.
- Q. Farooq Akram & Øyvind Eitrheim, 2006.
"Flexible inflation targeting and financial stability: Is it enough to stabilise inflation and output?,"
2006/07, Norges Bank.
- Akram, Q. Farooq & Eitrheim, Øyvind, 2008. "Flexible inflation targeting and financial stability: Is it enough to stabilize inflation and output?," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1242-1254, July.
- Oikarinen, Elias, 2009.
"Interaction between housing prices and household borrowing: The Finnish case,"
Journal of Banking & Finance,
Elsevier, vol. 33(4), pages 747-756, April.
- Elias Oikarinen, 2008. "Interaction between housing prices and household borrowing - the Finnish case," Discussion Papers 29, Aboa Centre for Economics.
- Adalid, Ramón & Detken, Carsten, 2007. "Liquidity shocks and asset price boom/bust cycles," Working Paper Series 0732, European Central Bank.
- Sousa, Joao Miguel & Zaghini, Andrea, 2006.
"Global monetary policy shocks in the G5: A SVAR approach,"
CFS Working Paper Series
2006/30, Center for Financial Studies (CFS).
- Sousa, Joao Miguel & Zaghini, Andrea, 2007. "Global monetary policy shocks in the G5: A SVAR approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(5), pages 403-419, December.
- Joao Miguel Sousa & Andrea Zaghini, 2007. "Global Monetary Policy Shocks in the G5: a SVAR Approach," CEIS Research Paper 89, Tor Vergata University, CEIS.
- Zsolt Darvas, 2008.
"Leveraged Carry Trade Portfolios,"
IEHAS Discussion Papers
0822, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
- Klaas Baks & Charles Frederick Kramer, 1999. "Global Liquidity and Asset Prices; Measurement, Implications, and Spillovers," IMF Working Papers 99/168, International Monetary Fund.
- Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2004.
"Similarities and convergence in G-7 cycles,"
0404, Banco de España;Working Papers Homepage.
- Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004. "Similarities and Convergence in G7 Cycles," CEPR Discussion Papers 4534, C.E.P.R. Discussion Papers.
- Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2003. "Similarities and convergence in G-7 cycles," Economics Working Papers 924, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 2004.
- Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004. "Similarities and convergence in G-7 cycles," Working Paper Series 0312, European Central Bank.
- Browne, Frank & Cronin, David, 2007.
"Commodity prices, money and inflation,"
Working Paper Series
0738, European Central Bank.
- Ciccarelli, Matteo & Mojon, Benoît, 2005.
Working Paper Series
0537, European Central Bank.
- Matteo Ciccarelli & Benoît Mojon, 2008. "Global inflation," Working Paper Series WP-08-05, Federal Reserve Bank of Chicago.
- Ciccarelli, Matteo & Mojon, Benoît, 2006. "Global Inflation," Kiel Working Papers 1337, Kiel Institute for the World Economy (IfW).
- Matteo Ciccarelli & Benoît Mojon, 2007. "Global Inflation," Kiel Working Papers 1337, Kiel Institute for the World Economy.
- Matteo Ciccarelli & Benoît Mojon, 2005. "Global Inflation," Working Papers Central Bank of Chile 357, Central Bank of Chile.
- Rüffer, Rasmus & Stracca, Livio, 2006.
"What is global excess liquidity, and does it matter?,"
Working Paper Series
0696, European Central Bank.
- Rasmus Ruffer & Livio Stracca, 2007. "What is global excess liquidity, and does it matter?," Money Macro and Finance (MMF) Research Group Conference 2006 120, Money Macro and Finance Research Group.
- Moshirian, Fariborz, 2008. "Globalisation, growth and institutions," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 472-479, April.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2002.
"The Modern History of Exchange Rate Arrangements: A Reinterpretation,"
NBER Working Papers
8963, National Bureau of Economic Research, Inc.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2004. "The Modern History of Exchange Rate Arrangements: A Reinterpretation," The Quarterly Journal of Economics, Oxford University Press, vol. 119(1), pages 1-48.
- Reinhart, Carmen & Rogoff, Kenneth, 2004. "The modern history of exchange rate arrangements: A reinterpretation," MPRA Paper 14070, University Library of Munich, Germany.
- Matteo Iacoviello, 2002.
"House prices, borrowing constraints and monetary policy in the business cycle,"
Boston College Working Papers in Economics
542, Boston College Department of Economics, revised 06 Dec 2004.
- Matteo Iacoviello, 2005. "House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle," American Economic Review, American Economic Association, vol. 95(3), pages 739-764, June.
- Claudio E. V. Borio & Andrew Filardo, 2007. "Globalisation and inflation: New cross-country evidence on the global determinants of domestic inflation," BIS Working Papers 227, Bank for International Settlements.
- Favero, Carlo A., 2001. "Applied Macroeconometrics," OUP Catalogue, Oxford University Press, number 9780198296850, May.
- Miles, Marc A, 1978. "Currency Substitution, Flexible Exchange Rates, and Monetary Independence," American Economic Review, American Economic Association, vol. 68(3), pages 428-36, June.
- Greiber, Claus & Setzer, Ralph, 2007. "Money and housing: evidence for the euro area and the US," Discussion Paper Series 1: Economic Studies 2007,12, Deutsche Bundesbank, Research Centre.
When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:34:y:2010:i:8:p:1933-1945. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.