Data for: Understanding global liquidity

Abstract of associated article: 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 loadings, we achieve a structural identification of the factors. The results suggest that global liquidity conditions are largely driven by three common factors and can therefore not be summarised by a single indicator. These three factors can be identified as global monetary policy, global credit supply and global credit demand.

相关论文摘要：本研究基于从24个先进及新兴市场经济体中选取的大量金融和宏观经济变量构建的因子模型，探讨了全球流动性的概念。我们通过分析流动性指标动态中的共同全球因子来衡量全球流动性状况。通过对因子载荷施加理论上的符号限制，实现了对这些因子的结构识别。研究结果表明，全球流动性状况主要由三个共同因子所驱动，因此不能仅用一个指标来概括。这三个因子可被识别为全球货币政策、全球信贷供给和全球信贷需求。