Global Liquidity, Risk Premiums and Growth Opportunities

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and comovements, and assesses the extent to which such measures are determinants of selected spreads and proxy measures of countries' growth opportunities. Three main results obtain. First, there is evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liq

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Year of publication:	2009
Authors:	De Nicoló, Gianni
Other Persons:	Ivaschenko, Iryna V. (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Risikoprämie \| Risk premium \| Liquidität \| Liquidity \| Schwellenländer \| Emerging economies \| Marktliquidität \| Market liquidity \| Wirtschaftswachstum \| Economic growth \| Finanzmarkt \| Financial market \| G7-Staaten \| G7 countries

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Extent:	Online-Ressource (45 p)
Series:	IMF Working Papers IMF working paper ; WP/09/52
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Liquidity Indicators: Theory and Measurement; A. A simple model of liquidity; B. Measurement; III. Liquidity Indicators: Evidence; A. Data; B. Descriptive Statistics; 1. Global Liquidity Indicators; 2. G-7 Equity and Bond Liquidity Indicators; 3. Emerging Markets Liquidity Indicators: Latin America; 4. Emerging Markets Liquidity Indicators: Asia; 5. Emerging Markets Liquidity Indicators: Europe; 6. Liquidity Indicators: Mean and Standard Deviation; C. Dynamics and Co-Movements; 7. Liquidity Indicators: Trend Coefficients 1. Fixed Effect Panel Regressions2. Liquidity Indicators: Dynamics of Cross Sectional Variances; 8. Liquidity Indicators: Correlations; D. Systemic Liquidity Shocks; 9. Indicators of Global Systemic Liquidity Shocks; 3. Bi-variate VAR of Global Equity and Bond Systemic Liquidity Shocks; IV. Liquidity and bond premiums; A. Advanced Economies; 4. Government Bond Spreads and Liquidity: Advanced Economies; B. Emerging Economies; 5. EMBI Spreads and Liquidity: Emerging Economies; V. Liquidity and growth opportunities; 6. Price-Earning (PE) Ratios and Liquidity; VI. Conclusion; References Footnotes
ISBN:	978-1-4518-7200-2 ; 978-1-4519-1635-5 ; 978-1-4518-7200-2
Source:	ECONIS - Online Catalogue of the ZBW

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