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Pré-Publication, Document De Travail Année : 2014

Determinants of Global Liquidity Dynamics:a FAVAR approach

Résumé

Global liquidity, which consists of both monetary liquidity (quantitative easing and traditional policies) and funding liquidity, follows specific dynamics. The importance of these dynamics is reflected by the growing interest in international policy fora in the economic efects and determinants of this phenomenon. This paper contributes to this evolving policy debate by capturing the determinants of global liquidity dynamics. To this end, I employ a Factor-Augmented VAR model, with potential explanatory vari- ables based on Augmented-Taylor rules and private determinants. Using data from 1990 to 2011, I find that the factors representing real activity and financial stability are the main determinants of global liquidity dynamics. The impact of these factors is however heterogeneous across pre and post crisis periods.
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hal-00956314 , version 1 (06-03-2014)

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  • HAL Id : hal-00956314 , version 1

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Marie-Louise Djigbenou. Determinants of Global Liquidity Dynamics:a FAVAR approach. 2014. ⟨hal-00956314⟩
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