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This paper investigates the relative importance of hot money in bank credit and portfolio flows from the US to 18 emerging markets over the period 1988-2012. We deploy state-space models à la Kalman filter to identify the unobserved hot money as the temporary component of each type of flow. The...
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The paper investigates the impact of global liquidity, proxied by funding liquidity, on house prices around the world. Focusing on the repo markets in US, Europe, UK and Japan, we document that changes in liquidity are related to cross-border bank flows and affect house prices. Highlighting the...
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