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Comprehensive liquidity system analysis and impacts
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This research examines three sources of liquidity, central banks, private commercial banks, and the shadow banking sector, and their link to economies and financial markets. We produce three liquidity indices for each sector with respect to the United States and we test them individually and jointly against different economic and financial market variables. We find a positive relationship between liquidity and economic growth as well as equity prices and a 50-50 Equity-Bond Portfolio. Our findings are consistent with the rising literature, suggesting that financial flows have a key role for the business cycle and asset prices.
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Central banks Commercial banks Shadow banking Credit creation Global liquidity