This note presents a simple model that nests the excess liquidity and savings glut hypotheses of the debate on the recent asset price boom. It clarifies the notion of investors' search for yield and shows how financial frictions influence asset price dynamics

We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast exchange rate growth—at weekly, monthly, and quarterly horizons, both in-sample and out-of-sample, and for a large set of currencies. We estimate prices of risk using a cross-sectional asset...