Global Liquidity, Risk Premiums and Growth Opportunities
IMF Working Papers, March 1, 2009
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Bibliographic details
- Authors: Gianni De Nicolo, Iryna V. Ivaschenko
- Published: March 1, 2009
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451872002.001
Overview
- Authors: Gianni De Nicolo, Iryna V. Ivaschenko
- Publication type: IMF Working Papers
- Date: March 1, 2009
- Series: Working Paper No. 2009/052
- Issue: 052
- Volume: 2009
- Pages: 35
- DOI: https://doi.org/10.5089/9781451872002.001
- Stock No: WPIEA2009052
- ISBN: 9781451872002
- ISSN: 1018-5941
Constructed liquidity indicators and scope
- Constructs new indicators of liquidity for:
- equity markets
- bond markets
- money markets
- Coverage: major advanced and emerging market countries
- Aim: document evolution and comovements of liquidity measures and assess their role as determinants of selected spreads and proxy measures of countries' growth opportunities
Main empirical results
- Historical liquidity trends:
- Evidence of an historical increase in market liquidity since the early 1990s
- Increase in market liquidity attributed in part to advances in international financial integration
- Concurrent finding: markets have been increasingly exposed to global systemic liquidity shocks
- Determinants of spreads:
- Liquidity indicators appear to be important determinants of bond spreads in advanced economies
- Liquidity indicators appear to be important determinants of EMBI spreads in emerging markets
- Real effects on growth opportunities:
- Improvements in market liquidity have significant real effects
- Liquidity indicators have a significant positive impact on proxy measures of countries' growth opportunities
Subject areas and keywords
- Subject: Asset and liability management; Financial markets; International liquidity; Liquidity; Liquidity indicators; Liquidity management; Securities markets; Stock markets
- Selected keywords: bond liquidity indicator; domestic money market liquidity indicator; Global; government bond bond market; government bond liquidity; Growth Opportunities; International liquidity; Liquidity; liquidity effect; liquidity indicator; Liquidity management; liquidity of market; liquidity premium; liquidity shock; market linkage; market liquidity; panel B. government bond bond market; Risk Premiums; Securities markets; Stock markets; WP
IMF Working Paper — Global Liquidity, Risk Premiums and Growth Opportunities, March 1, 2009