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Record Nr. |
UNINA9910957410703321 |
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Autore |
Berger Helge |
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Titolo |
Does Global Liquidity Matter for Monetary Policy in the Euro Area? / / Helge Berger, Thomas Harjes |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2009 |
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ISBN |
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9786612842399 |
9781462391097 |
1462391095 |
9781451871647 |
1451871643 |
9781282842397 |
1282842390 |
9781452744025 |
1452744025 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Liquidity (Economics) |
Monetary policy - Europe |
Asset and liability management |
Deflation |
Diffusion Processes |
Dynamic Quantile Regressions |
Dynamic Treatment Effect Models |
Economics |
Excess liquidity |
Finance |
Finance: General |
Forecasting and Other Model Applications |
Inflation |
International finance |
International liquidity |
International Policy Coordination and Transmission |
Investment Decisions |
Liquidity indicators |
Liquidity management |
Liquidity |
Macroeconomics |
Monetary Policy |
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Portfolio Choice |
Price Level |
Prices |
Time-Series Models |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Intro -- Contents -- I. Introduction -- II. How to Identify Movements in Liquidity Relevant for Monetary Policy? -- III. Some Stylized Facts -- IV. Global Excess Liquidity and EA Inflation -- A. Within Sample -- B. Out-of Sample -- V. A Glimpse at the Link between Global Liquidity and Monetary Policy Effectiveness -- VI. Conclusion -- References -- Table 1. The Impact of EA, US, and JP Excess Liquidity on Future Inflation -- Figures -- 1. Excess Liquidity, 1970Q1-2008Q2 -- 2. Dynamic Correlation Coefficients of Excess Liquidity -- 3. RMSEs for Alternative Models of Euro Area Inflation for the Forecasting Period 1991Q1 to 2007 Q1 -- 4. Results from an Uncionditioanl VAR for th Euro Area 1991Q1 to 2007Q1 -- 5. Results from a VAR for the Euro Area 1991Q1 to 2007Q1, Conditional on the US Excess Liquidity Regime -- Appendix. |
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Sommario/riassunto |
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Global excess liquidity is sometimes believed to limit sovereign monetary policy even in large economies, including the euro area. There is much discussion about what constitutes global excess liquidity and our approach adjusts liquidity for longer-term interest rate and output effects. We find that especially excess liquidity in the U.S. leads developments in euro area liquidity. U.S. excess liquidity also enters consistently positive as a determinant of euro area inflation. There is some evidence that this result may be related to a weakening of the effectiveness of monetary policy in the euro area during times of excessive U.S. liquidity. |
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