The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity … economies. - Risk ; financial crisis ; global transmission ; global VAR (GVAR) ; shocks ; modelling ; US ; advanced economies …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity … played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of 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 …

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 …

We study the effects of FX liquidity risk on carry trade returns using a novel low-frequency market-wide liquidity … (liquidity risk and market risk). Our results are further corroborated when the mimicking liquidity risk factor is replaced with … volatility. We find that liquidity risk is priced in the cross-section of carry trade returns, and estimate the liquidity risk …