 Implied Liquidity Estimation (in Korean)Joon Myoung Woo () and
Jieun Lee ()
No 2015-24, Working Papers from Economic Research Institute, Bank of Korea Abstract: Unlike the previous studies that focus on a single liquidity measure, this paper uses three measures of liquidity ― bank credit, M2, Lf ― estimate implied liquidity and examines the relationship between the implied liquidity and macroeconomic variables. We find that these liquidity measures, especially bank credit, were greater than the implied liquidity before the financial crisis. They temporarily fell after the crisis due to the delay in economic recovery, and have recently come to move around the implied liquidity. Furthermore, an increase in the implied liquidity during an economic expansion causes housing price appreciation and inflation. The evidence provided in this paper implies that this new measure can provide a good reference to evaluate the extent to which actual liquidity deviates from its equilibrium. Keywords: Implied liquidity; Monetary aggregate; Dynamic factor model; Bank credit; Gibbs sampling (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1524 Access Statistics for this paper More papers in Working Papers from Economic Research Institute, Bank of Korea Contact information at EDIRC. |
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