Liquidity in the liquidity crisis: evidence from Divisia monetary aggregates in Germany and the European crisis countries

Makram El-Shagi and Logan Kelly

Economics Bulletin, 2014, vol. 34, issue 1, 63-72

Abstract: While there has been much discussion of the role of liquidity in the recent financial crises, there has been little discussion of the use of macroeconomic aggregation techniques to measure total liquidity available to the market. In this paper, we provide an approximation of the liquidity development in six Euro area countries from 2003 to 2013. We show that properly measured monetary aggregates contain significant information about liquidity risk.

Keywords: European debt crisis; Divisia aggregation; Liquidity aggregates; Signaling models; Index Number Theory (search for similar items in EconPapers)
JEL-codes: C8 E4 (search for similar items in EconPapers)
Date: 2014-01-20
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Liquidity in the Liquidity Crisis: Evidence from Divisia Monetary Aggregates in Germany and the European Crisis Countries (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-13-00073

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