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The Credit Composition of Global Liquidity
We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic factor model. Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows directed at businesses, households and governments. We show that...
محفوظ في:
| الحاوية / القاعدة: | MAGKS - Joint Discussion Paper Series in Economics (Band 15-2021b) |
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| المؤلفون الرئيسيون: | , , |
| التنسيق: | مقال |
| اللغة: | الإنجليزية |
| منشور في: |
Philipps-Universität Marburg
2021
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| الموضوعات: | |
| الوصول للمادة أونلاين: | PDF النص الكامل |
| الوسوم: |
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| الملخص: | We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic factor model. Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows directed at businesses, households and governments. We show that this decomposition enhances the understanding of global liquidity considerably. Whereas global government sector credit supply is best understood as a safe-haven lending factor from an investors perspective, lenders supply the business and households with credit to maximize profits along the financial cycle. Morever, the goverment sector demands credit in times of bust-episodes, whereas private entities demand credit in times of boos. In particular, we find that our global credit estimates explain substantial variance shares of a large panel of international financial aggregates. |
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| وصف مادي: | 62 Seiten |
| تدمد: | 1867-3678 |
| DOI: | 10.17192/es2024.0691 |