Does Global Liquidity Matter for Monetary Policy in the Euro Area?.
Title:
Does Global Liquidity Matter for Monetary Policy in the Euro Area?.
Author:
Berger, Helge.
ISBN:
9781452744025
Personal Author:
Physical Description:
1 online resource (26 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. Introduction -- II. How to Identify Movements in Liquidity Relevant for Monetary Policy? -- III. Some Stylized Facts -- IV. Global Excess Liquidity and EA Inflation -- A. Within Sample -- B. Out-of Sample -- V. A Glimpse at the Link between Global Liquidity and Monetary Policy Effectiveness -- VI. Conclusion -- References -- Table 1. The Impact of EA, US, and JP Excess Liquidity on Future Inflation -- Figures -- 1. Excess Liquidity, 1970Q1-2008Q2 -- 2. Dynamic Correlation Coefficients of Excess Liquidity -- 3. RMSEs for Alternative Models of Euro Area Inflation for the Forecasting Period 1991Q1 to 2007 Q1 -- 4. Results from an Uncionditioanl VAR for th Euro Area 1991Q1 to 2007Q1 -- 5. Results from a VAR for the Euro Area 1991Q1 to 2007Q1, Conditional on the US Excess Liquidity Regime -- Appendix.
Abstract:
Global excess liquidity is sometimes believed to limit sovereign monetary policy even in large economies, including the euro area. There is much discussion about what constitutes global excess liquidity and our approach adjusts liquidity for longer-term interest rate and output effects. We find that especially excess liquidity in the U.S. leads developments in euro area liquidity. U.S. excess liquidity also enters consistently positive as a determinant of euro area inflation. There is some evidence that this result may be related to a weakening of the effectiveness of monetary policy in the euro area during times of excessive U.S. liquidity.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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