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Implied Liquidity Estimation (in Korean)

Author

Listed:
  • Joon Myoung Woo

    (Financial & Monetary Economics Team, Economic Research Institute)

  • Jieun Lee

    (Financial & Monetary Economics Team, Economic Research Institute)

Abstract

Unlike the previous studies that focus on a single liquidity measure, this paper uses three measures of liquidity ― bank credit, M2, Lf ― estimate implied liquidity and examines the relationship between the implied liquidity and macroeconomic variables. We find that these liquidity measures, especially bank credit, were greater than the implied liquidity before the financial crisis. They temporarily fell after the crisis due to the delay in economic recovery, and have recently come to move around the implied liquidity. Furthermore, an increase in the implied liquidity during an economic expansion causes housing price appreciation and inflation. The evidence provided in this paper implies that this new measure can provide a good reference to evaluate the extent to which actual liquidity deviates from its equilibrium.

Suggested Citation

  • Joon Myoung Woo & Jieun Lee, 2015. "Implied Liquidity Estimation (in Korean)," Working Papers 2015-24, Economic Research Institute, Bank of Korea.
    • Handle: RePEc:bok:wpaper:1524
    as

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    More about this item

    Keywords

    Implied liquidity; Monetary aggregate; Dynamic factor model; Bank credit; 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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