The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … methodology, the findings reveal fundamental differences in the transmission strength and pattern between the 2007-08 financial … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The …

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … methodology, the findings reveal fundamental differences in the transmission strength and pattern between the 2007-08 financial … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The …

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 …

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 …

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 …

and developing economies. Global liquidity, economic policy uncertainty and other risk factors, such as the US yield …-type fashion. Regarding push factors, our study focuses on the relative importance of global liquidity and economic policy …

-asset and cross-market shock transmission and co-movement dynamics. Our results offer additional insights to investors and …

dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves … inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of …