The Effects of Global Liquidity on Global Imbalances
DJIGBENOU, Marie-Louise
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
DJIGBENOU, Marie-Louise
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
< Réduire
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
Langue
EN
Article de revue
Ce document a été publié dans
International Review of Economics & Finance. 2016-03, vol. 42, p. 1-12
Résumé en anglais
This paper examines how global liquidity responds to a US (United States) monetary policy shock, and whether global liquidity has effects on global imbalances. To this end we estimate regression and Panel-VARX models using ...Lire la suite >
This paper examines how global liquidity responds to a US (United States) monetary policy shock, and whether global liquidity has effects on global imbalances. To this end we estimate regression and Panel-VARX models using data from the G5 (US, United Kingdom, Euro area, Japan and Canada) and 20 emerging countries. The empirical results show that global liquidity is meaningfully affected by a US monetary shock, and that the effects on global imbalances of global liquidity are significant. The foreign exchange reserves of emerging economies are also found to play a significant role related to global imbalances.< Réduire
Mots clés en anglais
Global liquidity
Global imbalances
Panel-VARX
US monetary shock
Spillover effect