Global liquidity, market sentiment, and financial stability indices

Nataliia Osina

Journal of Multinational Financial Management, 2019, vol. 52-53

Abstract: This paper investigates the determinants of global liquidity, measured using BIS data on cross-border claims of banks (bank flows) in a sample of 149 countries. The paper identifies links between global liquidity and a variety of market sentiment and financial stability indices. Using panel regressions incorporating country fixed effects, I find that the CBOE Volatility Index (VIX), FRED and Bloomberg financial stability indices, the U.S. Conference Board Leading Economic Index, the U.S. IDB/TIPP Economic Optimism Index, and KBW indices all appear relevant in capturing the magnitude of changes in cross-border global liquidity. Additionally, I corroborate previous empirical evidence that bank conditions and monetary policy in important financial centers, and in particular in the U.S., remain highly significant in determining cross-border bank flows. The results are robust to changes in the estimation methodology and varying sets of the control variables.

Keywords: Global liquidity; Market sentiment indices; Financial stability indices; Bloomberg financial conditions indices; Push factors; Pull factors (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19301872

DOI: 10.1016/j.mulfin.2019.100606

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