Discussion Paper. Deutsche Bundesbank No 03/2013. Understanding global liquidity Sandra Eickmeier (Deutsche Bundesbank)
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1 Discussion Paper Deutsche Bundesbank No 3/213 Understanding global liquidity Sandra Eickmeier (Deutsche Bundesbank) Leonardo Gambacorta (Bank for International Settlements) Boris Hofmann (Bank for International Settlements) Discussion Papers represent the authors personal opinions and do not necessarily reflect the views of the Deutsche Bundesbank or its staff.
2 Editorial Board: Klaus Düllmann Heinz Herrmann Christoph Memmel Deutsche Bundesbank, Wilhelm-Epstein-Straße 14, 6431 Frankfurt am Main, Postfach 1 6 2, 66 Frankfurt am Main Tel Please address all orders in writing to: Deutsche Bundesbank, Press and Public Relations Division, at the above address or via fax Internet Reproduction permitted only if source is stated. ISBN (Printversion) ISBN (Internetversion)
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33 Table 1: Cumulated variance shares explained by the first 1 principal components (in percent) (a) Variable-specific datasets Overnight rate Domestic credit Cross-border Business Mortgage rate VIX M2 growth Real GDP CPI # factors growth credit growth lending rate growth inflation (b) Large datasets All financial All macro All financial variables after # factors variables variables purging of the macro factors Table 2: Sign restrictions on loadings Overnight rate Business and mortgage lending rates Business and mortgage lending rate spreads Domestic and crossborder credit growth Monetary policy factor Credit supply factor Credit demand factor 25
34 Table 3: Share of countries satisfying the sign restrictions (in percent) Overnight rate Business lending rate Mortgage rate Business lending rate spread Mortgage rate spread Domestic credit growth Cross-border credit growth (a) Share of countries satisfying the sign restrictions and loadings differing significantly from Monetary policy Credit supply Credit demand (b) Share of countries for which loadings do not differ significantly from Monetary policy Credit supply Credit demand Table 4: Correlations with baseline factors for different robustness checks Monetary policy Credit supply Credit demand Pre-crisis sample Restr. on weighted average financial factors Purging based on national macro variables Notes: The table displays the correlation of the Median Target structural global liquidity factors obtained under the different robustness checks with those obtained in the baseline case. 26
35 Table 5: Variance decomposition of financial variables (in percent) Variance shares explained by Loadings MP factor CS factor CD factor Macro factors Idio MP factor CS factor CD factor Overnight rate Global Advanced economies USA Euro area Japan Emerging market economies Emerging Asia Emerging Latin America Domest credit Global growth Advanced economies USA Euro area Japan Emerging market economies Emerging Asia Emerging Latin America Cross-border Global credit growth Advanced economies USA Euro area Japan Emerging market economies Emerging Asia Emerging Latin America Business lending Global rate Advanced economies USA Euro area Japan Emerging market economies Emerging Asia Emerging Latin America Mortgage rate Global Advanced economies USA Euro area Japan... Emerging market economies Emerging Asia Emerging Latin America VIX Global Advanced economies USA Euro area Japan Emerging market economies Emerging Asia Emerging Latin America M2 growth Global Advanced economies USA Euro area Japan Emerging market economies Emerging Asia Emerging Latin America
36 Figure 1: Structural global liquidity factors Monetary policy Credit supply Credit demand Notes: Black lines are the factors from all 1 models satisfying the sign restrictions on the factor loadings in at least 5 percent of the countries. The red lines are the Median Target factors (based on Fry and Pagan (211)). Figure 2: Structural global liquidity factors baseline and not purged of macro factors Monetary policy Credit supply Credit demand 6 4 baseline not purged of macro influences Notes: Median Target factors (based on Fry and Pagan (211). 28
37 Figure 3: Robustness checks Monetary policy Credit supply Credit demand baseline precrisis weighted av 4 liq factors purged of national macro influences Notes: Median Target factors (based on Fry and Pagan (211) from robustness checks and from baseline model. 29
38 Figure 4: Historical decompositions (a) The role of global liquidity and global macro factors Overnight rate Domestic credit growth Cross-border credit growth Business lending rate Mortgage rate 1 5 VIX 4 2 M2 growth Liquidity factors Macro factors (b) The role of global monetary policy, credit supply and credit demand factors Overnight rate Domestic credit growth Cross-border credit growth Business lending rate Mortgage rate 1 5 VIX 4 2 M2 growth Monetary policy factor Credit supply factor Credit demand factor
39 Appendix Table A.1: Data # Variable Country Transf Source Financial dataset 23 Money market rate all IFS/IMF, Datastream 23 Overnight rate all IFS/IMF, Datastream 22 Business lending rate all IFS/IMF, national sources 17 Mortgage lending rate all IFS/IMF, national sources 23 1y government bond yield all IFS/IMF, Datastream 24 Cross-border credit all 1 BIS 23 Domestic credit all 1 IMF/IFS, BIS 24 M2 all 1 IFS/IMF 24 M all 1 IFS/IMF 23 Implied volatility all Datastream, own calculations 1 BAA/1y Treasury spread US Federal Reserve Board 1 High yield/baa spread US Merril Lynch/Federal Reserve Board 1 Auto finance comp. car loan rate/ 2y Treasury spread US Federal Reserve Board 1 3y conv. mortgage rate/1y Treasury bond spread US Federal Reserve Board 1 TED spread US Federal Reserve Board 1 3m Libor/OIS spread US Federal Reserve Board 1 Bank car loan rate/ 2y Treasury spread US Federal Reserve Board 1 Bank personal loan rate / 2y Treasury spread US Federal Reserve Board 1 Commercial paper outstanding: All issuers US 1 Federal Reserve Board 1 Commercial paper issuance (relative to 24 months moving average) US 1 Federal Reserve Board 1 Total financial sector: Liabilities, Security RPs US 1 Federal Reserve Board 1 ABS Issuers: Assets, Consumer credit US Federal Reserve Board 1 ABS Issuers: Assets, Commercial mortgages US 1 Federal Reserve Board 1 ABS Issuers: Assets, Mortgages 1-4 family structures US 1 Federal Reserve Board 1 Broker Dealer leverage US 1 Federal Reserve Board 1 NFIB: % reporting that credit was harder to get last time US National Federation of Independent Business 1 Michigan Survey: Good/bad conditions for buying large HH goods spread US University of Michigan 1 Michigan Survey: Good/bad conditions for buying houses spread US University of Michigan 1 Michigan Survey: Good/bad conditions for buying autos spread US University of Michigan 1 FRB Senior loan officer survey: Net tightening of C&I loans to large firms US Federal Reserve Board 1 FRB Senior loan officer survey: Net tightening of C&I loans to small firms US Federal Reserve Board 1 FRB Senior loan officer survey: Net increased willingness to make consumer loans US Federal Reserve Board 1 AAA corporate yield US Federal Reserve Board 1 BAA corporate yield US Federal Reserve Board 1 3 months certificate of deposit rate US Federal Reserve Board 1 6 months certificate of deposit rate US Federal Reserve Board 1 1y Treasury bond yield US Federal Reserve Board 1 2y Treasury bond yield US Federal Reserve Board 1 3y Treasury bond yield US Federal Reserve Board 1 5y Treasury bond yield US Federal Reserve Board 1 7y Treasury bond yield US Federal Reserve Board 1 2y Treasury bond yield US Federal Reserve Board 1 3y Treasury bond yield US Federal Reserve Board 1 1m Treasury bill yield US Federal Reserve Board 1 3m Treasury bill yield US Federal Reserve Board 1 6m Treasury bill yield US Federal Reserve Board 1 1m Eurodollar deposit rate US Federal Reserve Board 1 3m Eurodollar deposit rate US Federal Reserve Board 1 6m Eurodollar deposit rate US Federal Reserve Board 1 Conventional mortgage rate US Federal Reserve Board 1 Total non-bank credit US 1 Federal Reserve Board 1 Total private sector debt US 1 Federal Reserve Board Macroeconomic dataset 24 Real GDP all 1 IFS/IMF 23 Real personal consumption all 1 IFS/IMF 23 Real fixed investment all 1 IFS/IMF 24 CPI all 1 IFS/IMF 24 PPI all 1 IFS/IMF 23 GDP deflator all 1 IFS/IMF Notes: : levels, 1: log year-on-year differences. 31
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