Does G-4 Liquidity Spill Over?
The resumption of strong capital flows into emerging markets in mid-2009 brought back the debate over whether pull or push factors are the main determinants. This paper, using panel specifications with alternative measures of global liquidity, asks the question whether G-4 liquidity expansion spills over to the rest of the world. The paper finds strong positive links between G-4 liquidity expansion and asset prices, such as equities, in the liquidity receiving economies, which indicates that the push factor plays an important role in asset prices. Liquidity also has a strong positive link with the accumulation of official reserves and with equity portfolio inflows in receiving economies. Moreover, the association between excess equity returns, excess credit growth, and global liquidity has implications for rising risks to financial stability in the receiving economies.
|Date of creation:||01 Oct 2011|
|Date of revision:|
|Contact details of provider:|| Postal: International Monetary Fund, Washington, DC USA|
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
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.:
- Tobias Adrian & Hyun Song Shin, 2008.
"Liquidity and leverage,"
328, Federal Reserve Bank of New York.
- Klaas Baks & Charles Frederick Kramer, 1999. "Global Liquidity and Asset Prices; Measurement, Implications, and Spillovers," IMF Working Papers 99/168, International Monetary Fund.
- Matteo Ciccarelli & Benoît Mojon, 2007.
Kiel Working Papers
1337, Kiel Institute for the World Economy.
- 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, 2005. "Global Inflation," Working Papers Central Bank of Chile 357, Central Bank of Chile.
- Ciccarelli, Matteo & Mojon, Benoît, 2005. "Global inflation," Working Paper Series 0537, European Central Bank.
- M. Ayhan Kose & Eswar Prasad & Kenneth Rogoff & Shang-Jin Wei, 2009.
"Financial Globalization: A Reappraisal,"
Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(2), pages 143-197, June.
- M. Ayhan Kose & Eswar Prasad & Kenneth S. Rogoff & Shang-Jin Wei, 2006. "Financial Globalization: A Reappraisal," NBER Working Papers 12484, National Bureau of Economic Research, Inc.
- Kose, Ayhan & Prasad, Eswar & Rogoff, Kenneth & Wei, Shang-Jin, 2006. "Financial Globalization: A Reappraisal," CEPR Discussion Papers 5842, C.E.P.R. Discussion Papers.
- Ayhan Kose & Eswar S Prasad & Kenneth Rogoff & Shang-Jin Wei, 2006. "Financial Globalization; A Reappraisal," IMF Working Papers 06/189, International Monetary Fund.
- Belke, Ansgar & Orth, Walter & Setzer, Ralph, 2010.
"Liquidity and the dynamic pattern of asset price adjustment: A global view,"
Journal of Banking & Finance,
Elsevier, vol. 34(8), pages 1933-1945, August.
- Ansgar Belke & Walter Orth & Ralph Setzer, 2009. "Liquidity and the Dynamic Pattern of Asset Price Adjustment: A Global View," Discussion Papers of DIW Berlin 933, DIW Berlin, German Institute for Economic Research.
- Giovanni Dell'Ariccia & Paolo Mauro & Andre Faria & Jonathan David Ostry & Julian Di Giovanni & Martin Schindler & Ayhan Kose & Marco Terrones, 2008. "Reaping the Benefits of Financial Globalization," IMF Occasional Papers 264, International Monetary Fund.
- D'Agostino, A & Surico, P, 2007.
"Does global liquidity help to forecast US inflation?,"
6283, University Library of Munich, Germany.
- Antonello D'Agostino & Paolo Surico, 2009. "Does Global Liquidity Help to Forecast U.S. Inflation?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 479-489, 03.
- D'Agostino, Antonello & Surico, Paolo, 2007. "Does global liquidity help to forecast US inflation?," Research Technical Papers 10/RT/07, Central Bank of Ireland.
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:11/237. 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: (Jim Beardow)or (Hassan Zaidi)
If references are entirely missing, you can add them using this form.