Ács, Attila (2012): Liquidity and asset prices: a VECM approach. Published in: Crisis Aftermath: Economic policy changes in the EU and its Member States, Conference Proceedings, Szeged, University of Szeged , Vol. ISBN 9, (2012): pp. 13-26.
Download (776kB) | Preview
The recent financial and economic crisis highlighted the importance to better understand the relationship between liquidity developments and asset price movements. Central banks with focus on inflation targeting allowed asset price inflation, following burst, with its devastating consequences for the financial system and real economy. Equilibrium price should emanate from fundamentals. However liquidity conditions are part of fundamental variables and should be taken into consideration as explanatory variables in the process of asset pricing. Furthermore in many cases assets serve as collateral in refinancing which means that refinancing conditions influence values of pledged assets.
|Item Type:||MPRA Paper|
|Original Title:||Liquidity and asset prices: a VECM approach|
|Keywords:||liquidity; asset pricing; broker dealer; repo; error correction|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates|
|Depositing User:||Beata Farkas|
|Date Deposited:||06. Aug 2012 14:02|
|Last Modified:||23. Feb 2015 05:43|
Adrian, T. – Shin, H. S. (2008): Liquidity and financial cycles. BIS Working Paper.
Adrian, T. – Shin, H. S. (2009): Money, Liquidity, and Monetary Policy. Federal Reserve Bank of New York Staff Report.
Baks, K. – Kramer, C. (1999): Global Liquidity and Asset Prices: Measurement, Implications, and Spillovers. IMF Working Paper, WP/99/168.
Borio, C. (2000): Market liquidity and stress: selected issues and policy implications. BIS Quarterly Review, III. Special feature.
Borio, C. – Furfine, C. – Lowe, P. (2001): Procyclicality of the financial system and financial stability: issues and policy options. BIS Papers.
Borio, C. – Kennedy, N. – Prowse, S. (1994): Exploring aggregate asset price fluctuations across countries: measurement, determinants and monetary policy implications. BIS Economic Papers.
Borio, C. – Lowe, P. (2002): Asset prices, financial and monetary stability: exploring the nexus. BIS Working Paper, No 114.
Brunnermeier, M. K. – Pedersen, L. H. (2008): „Market Liquidity and Funding Liquidity”, RFS Advance Access.
Detken, C. – Smets, F. (2004): Asset Price Booms and Monetary Policy. ECB Working Papers.
Drehmann, M. – Nikolaou, K. (2010): Funding liquidity risk: definition and measurement. BIS Working Paper.
Issues. Federal Reserve Bank of New York, Current Issues in Economics and Finance, 12, 5..
Federal Deposit Insurance Corporation, FDIC (2010): Advisory on Interest Rate Risk Management.
Fitch Ratings (2011, August 4.): Money Market Survey.
Gorton, G. – Metrick, A. (2009): Securitized Banking and the Run on Repo. Yale ICF Working Paper, No. 09-14.
Gorton, G. – Metrick, A. (2010): Haircuts. Yale ICF Working Paper No. 09-15.
IMF (2009): Initial Lessons of the Crisis. International Monetary Fund, Research, Monetary and Capital Markets, and Strategy, Policy, and Review Departments.
Juselius, K. (2003): The Cointegrated VAR Model: Econometric Methodology and Macroeconomic Applications. Oxford University Press, Oxford.
Kiyotaki, N. – Moore, J. (2001): Evil is the root of all money. Clarendon Lectures, London School of Economics and Edinburgh University and London School of Economics.
Wiedmann, M. (2011): Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis. Springer-Verlag Berlin Heidelberg.
Wyplosz, C. (2005): Excess of liquidity in the Euro Area. Briefing notes to the Committee for economic and monetary affairs of the European Parliament.