|
|
|
|
|
|
Author/Editor:
|
Choi, Woon Gyu ; Cook, David
|
|
|
|
|
|
Publication Date:
|
January 01, 2005
|
|
|
|
Electronic Access:
|
Free Full text
(PDF file size is 533KB).
Use the free
Adobe Acrobat Reader
to view this PDF file
|
|
|
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
|
|
|
|
|
Summary:
In a liquid financial market, investors are able to sell large blocks of assets without substantially changing the price. We document a steep drop in the liquidity of the Japanese stock market in the post-bubble period and a steep rise in liquidity risk. We find that, during Japan's deflationary period, firms with more liquid balance sheets were less exposed to stock market liquidity risk, while slowly growing firms were highly exposed to liquidity shocks. Also, aggregate liquidity had macroeconomic effects on aggregate demand through its effect on money demand.
|
|
|
|
|
|
|
|
Series:
|
Working Paper No. 05/6
|
|
|
|
|
|
Subject(s):
|
Stock markets | Japan | Liquidity | Demand
|
|
|
Author's Keyword(s):
|
Stock market liquidity | liquidity shocks | vector autoregression |
|
|
|
|
|
|
|
|
|
|
English
|
|
|
|
|
|
|
Publication Date:
|
January 01, 2005
|
|
|
|
|
ISBN/ISSN:
|
1934-7073
|
|
Format:
|
Paper
|
|
Stock No:
|
WPIEA2005006
|
|
Pages:
|
28
|
|
Price:
|
|
|
|
US$15.00 )
|
|
|
|
|
|
|
|
|
Please address any questions about this title to
publications@imf.org
|
|
|
