Global Liquidity, Risk Premiums and Growth Opportunities

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and comovements, and assesses the extent to which such measures are determinants of selected spreads and proxy measures of countries' g...

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Bibliographic Details
Main Author: De Nicolo, Gianni
Other Authors: Ivaschenko, Iryna
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2009
Series:IMF Working Papers
Subjects:
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
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245 0 0 |a Global Liquidity, Risk Premiums and Growth Opportunities  |c Gianni De Nicolo, Iryna Ivaschenko 
260 |a Washington, D.C.  |b International Monetary Fund  |c 2009 
300 |a 35 pages 
651 4 |a United States 
653 |a International finance 
653 |a Economics 
653 |a Stock exchanges 
653 |a International liquidity 
653 |a Finance 
653 |a Financial Aspects of Economic Integration 
653 |a Capital market 
653 |a General Financial Markets: General (includes Measurement and Data) 
653 |a Asset and liability management 
653 |a Liquidity 
653 |a International Financial Markets 
653 |a Financial markets 
653 |a Stock markets 
653 |a Liquidity indicators 
653 |a Portfolio Choice 
653 |a Liquidity management 
653 |a Finance: General 
653 |a Investment Decisions 
653 |a Securities markets 
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520 |a This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and comovements, and assesses the extent to which such measures are determinants of selected spreads and proxy measures of countries' growth opportunities. Three main results obtain. First, there is evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity indicators appear to be important determinants of bond spreads in advanced economies and EMBI spreads in emerging markets. Third, improvements in market liquidity have significant real effects, as liquidity indicators have a significant positive impact on proxy measures of countries' growth opportunities