The Shifting Drivers of Global Liquidity

Stefan Avdjiev, Leonardo Gambacorta, Linda Goldberg and Stefano Schiaffi

No 23565, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The sensitivity of the main global liquidity components, international loan and bond flows, to global factors varied considerably over the past decade. The estimated sensitivity to US monetary policy rose substantially in the immediate aftermath of the Global Financial Crisis, peaked around the time of the 2013 Fed “taper tantrum”, and then reverted towards pre-crisis levels. Conversely, the responsiveness of international bank lending to global risk conditions declined steadily throughout the post-crisis period. We show that the main driver of the fluctuations in the estimated sensitivities to US monetary policy was the degree of convergence among advanced economy monetary policies. Meanwhile, the post-crisis fall in the sensitivity of international bank lending to global risk was mainly driven by increases in the lending shares of better-capitalized banking systems.

JEL-codes: F34 G10 G21 (search for similar items in EconPapers)
Date: 2017-06
New Economics Papers: this item is included in nep-ifn, nep-mac, nep-mon and nep-opm
Note: IFM ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (57)

Published as Stefan Avdjiev & Leonardo Gambacorta & Linda S. Goldberg & Stefano Schiaffi, 2020. "The Shifting Drivers of Global Liquidity," Journal of International Economics,

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Related works:
Journal Article: The shifting drivers of global liquidity (2020)
Working Paper: The shifting drivers of global liquidity (2017)
Working Paper: The shifting drivers of global liquidity (2017)
Working Paper: The shifting drivers of global liquidity (2017)
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