We explore the concept of global liquidity based on a factor model estimated using a large set of financial and … macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common … global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor …

foreign affiliates to help smooth domestic liquidity shocks. We also show that the existence of such internal capital markets … contributes to an international propagation of domestic liquidity shocks to lending by affiliated banks abroad. While these … and in foreign markets. Using quarterly information from all U.S. banks filing call reports between 1980 and 2005, we find …

a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …

an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads … through its interaction with the size and structure of national banking sectors. When aggregate risk increases, countries with … that financial markets perceive a larger risk that governments will have to rescue banks, increasing public debt and …

regulation, recovery and resolution, and risk culture. …

models, the measurement and indicators of systemic risk, macroprudential tools and their effectiveness; and to identify …

options on the euro area harmonized index of consumer prices provides us with the full distribution of inflation expectations …. The daily data set allows us to analyze effects of monetary policy announcements and macro news in a time varying event …-implied and statistical density functions to gain insight into deflation risk. Inflation expectations show a decreasing mean but …

a strong short-lived effect on risk spreads in the money and mortgage markets; (ii) monetary policy shocks have …This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze … monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to …

channel that transmitted shocks primarily related to the US financial system abroad. …