DOES INTERNATIONAL LIQUIDITY MATTER FOR G-7 COUNTRIES? A PVAR APPROACH

Mesut Türkay [1]

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Global liquidity has been more and more important in the last couple of years and everbody from media to policy makers are talking about it. In order to shed light on the effects of global liquidity, we investigate the impact of global liquidity expansion on major macroeconomic variables of G-7 countries by using panel vector autoregressive (PVAR) model and four different global liquidity indicators. We find that our data is non-stationary, there is cross sectional dependence and no cointegration relationship exits. Impulse response results show that an increase in global liquidity lowers government bond yields and has very limited effect on output, inflation and real exchange rate. Additionally, global liquidity explains up to 10 percent of the variation in government bond yields. Our model results imply that the impact of global liquidity on the macroeconomic variables of G-7 countries is not very striking as some other studies suggest. 

global liquidity, panel vector autoregressive, impulse responses
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Konular
Dergi Bölümü Makaleler
Yazarlar

Yazar: Mesut Türkay
E-posta: mesut.turkay@hazine.gov.tr
Kurum: Undersecretariat of Treasury
Ülke: Turkey


Bibtex @araştırma makalesi { ier336895, journal = {International Econometric Review}, issn = {1308-8793}, address = {Ekonometrik Araştırmalar Derneği}, year = {}, volume = {10}, pages = {1 - 13}, doi = {}, title = {DOES INTERNATIONAL LIQUIDITY MATTER FOR G-7 COUNTRIES? A PVAR APPROACH}, key = {cite}, author = {Türkay, Mesut} }
APA Türkay, M . (). DOES INTERNATIONAL LIQUIDITY MATTER FOR G-7 COUNTRIES? A PVAR APPROACH. International Econometric Review, 10 (1), 1-13. Retrieved from http://dergipark.gov.tr/ier/issue/36562/336895
MLA Türkay, M . "DOES INTERNATIONAL LIQUIDITY MATTER FOR G-7 COUNTRIES? A PVAR APPROACH". International Econometric Review 10 (): 1-13 <http://dergipark.gov.tr/ier/issue/36562/336895>
Chicago Türkay, M . "DOES INTERNATIONAL LIQUIDITY MATTER FOR G-7 COUNTRIES? A PVAR APPROACH". International Econometric Review 10 (): 1-13
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