Understanding Global Liquidity
Understanding Global Liquidity
复制标题
了解全球流动性
DOI：
10.1016/j.euroecorev.2014.01.015
复制
发表时间：
2013
期刊：
影响因子：
--
通讯作者：
M. Hammour
中科院分区：
文献类型：
--
作者：
Ricardo J. Caballero;M. Hammour
我们探讨了全球流动性的概念，基于一个因素模型，使用24个发达和新兴市场经济体的大量金融和宏观经济变量进行估计。我们根据流动性指标动态中的共同全球因素来衡量全球流动性状况。通过对因子载荷施加理论上的符号限制，我们实现了因子的结构识别。研究结果表明，全球流动性状况在很大程度上受三个共同因素驱动，因此不能用单一指标来概括。这三个因素可以被确定为全球货币政策、全球信贷供给和全球信贷需求。
We explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor loadings, we achieve a structural identification of the factors. The results suggest that global liquidity conditions are largely driven by three common factors and can therefore not be summarised by a single indicator. These three factors can be identified as global monetary policy, global credit supply and global credit demand.