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Can Global Liquidity Forecast Asset Prices?, Reginald Darius

Abstract
During the period leading up to the global financial crisis many asset classes registered rapid price increases. This coincided with a significant rise in global liquidity. This paper attempts to determine the extent to which the rise in asset prices was influenced by developments in global liquidity. We confirm that global liquidity had a significant impact on the buildup in house prices; however, the impact on equity prices was limited. In contrast to common perception, we find that the impact of global liquidity declined during the period of the Great Moderation. The paper also examines spillovers from global liquidity to domestic variables and concludes that domestic factors generally played a more significant role in house price appreciation relative to global factors. This contradicts the hypothesis of weakened potency of domestic monetary policy in the presence of increased international liquidity
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; Figures; 1. Asset Prices and Global Liquidity; A. Data; B. Methodology; A. Global Analysis; 2. Impulse Responses to an Interest Rate Shock and a Liquidity Shock; 3. Impulse Responses to an Interest Rate Shock and a Liquidity Shock, 1971Q1 to1983Q4; 4. Forecast Error Variance Decomposition Global Model, 1971Q1 to 1983Q4; 5. Impulse Responses to an Interest Rate Shock and a Liquidity Shock, 1984Q1-2007Q4; 6. Forecast Error Variance Decomposition Global Model, 1984Q1-2007Q4; 7. House Price Indices of G7 Countries (2000 = 100)
Language
eng
Literary Form
non fiction
Note
"August 2010."
Physical Description
1 online resource (45 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462317394

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