Global excess liquidity does it matter for house and stock prices on a global scale
This 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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
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.
Volume (Year): 24 (2008)
Issue (Month): ()
|Contact details of provider:|| Postal: 77 Water Street, 10th Floor, New York NY 10005|
Phone: +1 212 284 8600
Web page: http://www.capco.com/
When requesting a correction, please mention this item's handle: RePEc:ris:jofitr:0018. 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: (Prof. Shahin Shojai)
If references are entirely missing, you can add them using this form.