Liquidity in the liquidity crisis: evidence from Divisia monetary aggregates in Germany and the European crisis countries

While there has been much discussion of the role of liquidity in the recent financial crises, there has been little discussion of the use of macroeconomic aggregation techniques to measure total liquidity available to the market. In this paper, we provide an approximation of the liquidity development in six Euro area countries from 2003 to 2013. We show that properly measured monetary aggregates contain significant information about liquidity risk.

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Year of publication:	2014-01-20
Authors:	El-shagi, Makram ; Kelly, Logan J
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 34.2014, 1, p. 63-72
Publisher:	AccessEcon
Subject:	European debt crisis \| Divisia aggregation \| Liquidity aggregates \| Signaling models \| Index Number Theory

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Extent:	application/pdf
Type of publication:	Article
Classification:	E4 - Money and Interest Rates ; C8 - Data Collection and Data Estimation Methodology; Computer Programs
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010835753