[PDF] Liquidity And The Dynamic Pattern Of Asset Price Adjustment A Global View eBook

Author : Ansgar Hubertus Belke
Publisher :
Page : 48 pages
File Size : 26,63 MB
Release : 2016
Category :
ISBN :

GET BOOK

Global liquidity expansion has been very dynamic since 2001. Contrary to conventional wisdom, high money growth rates have not coincided with a concurrent rise in goods prices. At the same time, however, asset prices have increased sharply, significantly outpacing the subdued development in consumer prices. This paper examines the interactions between money, goods and asset prices at the global level. Using aggregated data for major OECD countries, our VAR results support the view that different price elasticities on asset and goods markets explain the recently observed relative price change between asset classes and consumer goods.

Author : Mr.Charles Frederick Kramer
Publisher : International Monetary Fund
Page : 34 pages
File Size : 39,45 MB
Release : 1999-12-01
Category : Business & Economics
ISBN : 1451858248

GET BOOK

Much recent commentary suggests that global liquidity has influenced financial conditions in the major international markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth) in the Group of Seven industrial countries to explore the international dimension of the relationship between liquidity and asset returns. Evidence suggests that an increase in G-7 liquidity is consistent with a decline in G-7 real interest rates and an increase in G-7 real stock returns. There is also evidence of liquidity spillovers across countries.

Author : François-Serge Lhabitant
Publisher : John Wiley & Sons
Page : 502 pages
File Size : 49,31 MB
Release : 2008-01-09
Category : Business & Economics
ISBN : 0470181699

GET BOOK

Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.

Author : Klaas Baks
Publisher :
Page : 33 pages
File Size : 31,44 MB
Release : 2006
Category :
ISBN :

GET BOOK

Much recent commentary suggests that global liquidity has influenced financial conditions in the major international markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth) in the Group of Seven industrial countries to explore the international dimension of the relationship between liquidity and asset returns. Evidence suggests that an increase in G-7 liquidity is consistent with a decline in G-7 real interest rates and an increase in G-7 real stock returns. There is also evidence of liquidity spillovers across countries.

Author : Gordon Pepper
Publisher : Wiley
Page : 0 pages
File Size : 10,32 MB
Release : 2006-05-16
Category : Business & Economics
ISBN : 9780470027394

GET BOOK

Professional investors are bombarded on a day to day basis with assertions about the role liquidity is playing and will play in determining prices in the financial markets. Few, if any, of the providers or recipients of such advice can truly claim to understand the well–springs of such liquidity and the transmission mechanisms through which it impacts asset prices. This groundbreaking new book explores the belief that at the core of liquidity there is a force which exerts individuals to effect a financial transaction when they would not otherwise do so. Understanding this force of compulsion is a key to understanding a financial market when it appears to be behaving irrationally. This book will enable new and seasoned investors to develop an understanding of the factors, so that costly mistakes can be avoided without the lesson of experience.

Author : Yakov Amihud
Publisher : Now Publishers Inc
Page : 109 pages
File Size : 12,84 MB
Release : 2006
Category : Business & Economics
ISBN : 1933019123

GET BOOK

Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.