Front Matter Page
Research Department
Authorized for distribution by Stijn Claessens
Contents
Abstract
I. Introduction
II. A simple theory of global liquidity and measurement
A. Liquidity as Availability of Funds for Safe Assets
B. Liquidity as Availability of Funds for Risky Assets
C. Measure of Global Liquidity
III. Empirical Strategy
A. An SVAR model
B. Domestic Variables
IV. Results
A. Responses to Global Liquidity Shocks
B. What Causes Different Response Among Countries?
V. Conclusion
Table
1. Predicted Responses to Positive Global Liquidity Shocks
2. Actual Response to Specific Global Liquidity Shocks
3. Correlation among Global Liquidity Measures
4. Correlation among Global Liquidity Shocks
Figure
1. Standardized Measure of Global Liquidity and Related Liquidity
2 Unanticipated Shocks of Liquidity Measure
3. Impulse Responses to Global Liquidity Shock (World Reserve)
4. Brazil: Impulse Responses to Global Liquidity Shock (World Reserve)
5. Impulse Responses to Global Liquidity Shock (World Reserve)
6. Mexico: Impulse Responses to Global Liquidity Shock (World Reserve)
7. Argentina: Impulse Responses to Global Liquidity Shock (VIX)
8. Brazil: Impulse Responses to Global Liquidity Shock (VIX)
9. Impulse Responses to Global Liquidity Shock (VIX)
10. Mexico: Impulse Responses to Global Liquidity Shock (VIX)
11. IRF to Global Liquidity Shock (TED)
12. IRF to Exchange Rate Shock
13. IRF to Inflation Shock
References