The Role of Global Liquidity in Global Yield Dynamics

• 영문명: The Role of Global Liquidity in Global Yield Dynamics
• 발행기관: 서울대학교 경제연구소
• 저자명: 박의환 김동헌
• 간행물 정보: 『Seoul Journal of Economics』Volume 36 No.2, 193~220쪽, 전체 28쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2023.05.31

영문 초록

With the emergence of global liquidity as an important factor in the global financial market since the global financial crisis in 2008, the global financial market has shown interest in the effect of global liquidity on global yield dynamics. This paper examines the role of global liquidity in global yield dynamics based on the macro-finance model. Estimation results show that the global liquidity plays a more important role in explaining the global level factor than global inflation, but such macro factors do not seem to explain the global slope factor. We interpret that global liquidity not only has information on global commodity inflation but also on global asset price inflation and future expected inflation and thus has more explanatory power than global inflation.

목차

Ⅰ. Introduction

Ⅱ. Methodology

Ⅲ. Estimation results

Ⅳ. Concluding remarks

References

키워드

Term structure Global liquidity Dynamic factor model Global yield Yield curve