Determinants of Global Liquidity Dynamics:a FAVAR approach
type: Dataset
description: Global liquidity, which consists of both monetary liquidity (quantitative easing and traditional policies) and funding liquidity, follows specific dynamics. The importance of these dynamics is reﬂected by the growing interest in international policy fora in the economic efects and determinants of this phenomenon. This paper contributes to this evolving policy debate by capturing the determinants of global liquidity dynamics. To this end, I employ a Factor-Augmented VAR model, with potential explanatory vari- ables based on Augmented-Taylor rules and private determinants. Using data from 1990 to 2011, I find that the factors representing real activity and financial stability are the main determinants of global liquidity dynamics. The impact of these factors is however heterogeneous across pre and post crisis periods.
issued: 2026-05-06T03:08:30.401971
language: en
modified: 2026-05-06T03:08:30.401976
contact point: Organization
  fn: CCSD
keyword: factor-model
keyword: financial-stability
keyword: funding-liquidity
keyword: global-liquidity
keyword: infoeu-reposemanticspreprint
keyword: monetary-policy
keyword: ofcial-liquidity
keyword: preprints-working-papers-
keyword: quantitative-easing
keyword: shsecohumanities-and-social-scienceseconomics-and-finance
landing page: https://hal.science/hal-00956314

Determinants of Global Liquidity Dynamics:a FAVAR approach
type: Distribution
format: HTML
issued: 2026-05-06T03:08:30.422080
modified: 2026-05-06T03:08:30.382551
access URL: https://hal.science/hal-00956314

test_moissonnage_selune
type: Agent