Can global liquidity forecast asset prices? /
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| Author / Creator: | Darius, Reginald, author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2010. |
| Description: | 1 online resource (26, [3] pages) : illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/10/196 IMF working paper ; WP/10/196. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12498671 |
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| 100 | 1 | |a Darius, Reginald, |e author. |0 http://id.loc.gov/authorities/names/no2009028437 | |
| 245 | 1 | 0 | |a Can global liquidity forecast asset prices? / |c prepared by Reginald Darius and Sören Radde. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2010. | ||
| 300 | |a 1 online resource (26, [3] pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/10/196 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 520 | 3 | |a 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. | |
| 505 | 0 | |a 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). | |
| 505 | 8 | |a 8. Impulse Responses to Global Liquidity Shock and Domestic Liquidity Shock, Japan9. Impulse Responses to Global Liquidity Shock and Domestic Liquidity Shock, U.S.; B. Spillover Analysis; Appendix; 10. Forecast Error Variance Decomposition Global Model, 1971Q1-2009Q3; 11. Forecast Error Variance Decomposition Global Model, 1983Q1-2009Q3; References; V. Conclusion; IV. Results; III. Data and Methodology; II. Literature Review; I. Introduction; Footnote. | |
| 650 | 0 | |a International finance |x Econometric models. | |
| 650 | 0 | |a Stock price forecasting |x Econometric models. | |
| 650 | 0 | |a Liquidity (Economics) |x Econometric models. | |
| 650 | 0 | |a Monetary policy |x International cooperation |x Econometric models. | |
| 650 | 6 | |a Actions (Titres de société) |x Prix |x Prévision |x Modèles économétriques. | |
| 650 | 6 | |a Liquidité (Économie politique) |x Modèles économétriques. | |
| 650 | 6 | |a Politique monétaire |x Coopération internationale |x Modèles économétriques. | |
| 650 | 7 | |a International finance |x Econometric models. |2 fast |0 (OCoLC)fst00976950 | |
| 650 | 7 | |a Liquidity (Economics) |x Econometric models. |2 fast |0 (OCoLC)fst00999685 | |
| 650 | 7 | |a Stock price forecasting |x Econometric models. |2 fast |0 (OCoLC)fst01133618 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Radde, Sören, |e author. |0 http://id.loc.gov/authorities/names/no2011079877 | |
| 710 | 2 | |a International Monetary Fund. |b Strategy, Policy, and Review Department, |e issuing body. |0 http://id.loc.gov/authorities/names/no2009043117 | |
| 710 | 2 | |a Deutsches Institut für Wirtschaftsforschung, |e issuing body. |0 http://id.loc.gov/authorities/names/n79121392 | |
| 776 | 0 | 8 | |i Print version: |a Darius, Reginald. |t Can Global Liquidity Forecast Asset Prices? |d Washington : International Monetary Fund, ©2010 |z 9781455205264 |
| 830 | 0 | |a IMF working paper ; |v WP/10/196. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2010/196/001.2010.issue-196-en.xml |y INTERNATIONAL MONETARY FUND |
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