LEADER 05567oam 22011054 450 001 9910788346903321 005 20230721045651.0 010 $a1-4623-4266-3 010 $a1-4527-5512-4 010 $a1-282-84274-9 010 $a9786612842740 010 $a1-4518-7200-3 035 $a(CKB)3170000000055204 035 $a(EBL)1608180 035 $a(SSID)ssj0000941192 035 $a(PQKBManifestationID)11525485 035 $a(PQKBTitleCode)TC0000941192 035 $a(PQKBWorkID)10963700 035 $a(PQKB)11513327 035 $a(OCoLC)650279547 035 $a(MiAaPQ)EBC1608180 035 $a(IMF)WPIEE2009052 035 $a(EXLCZ)993170000000055204 100 $a20020129d2009 uf 0 101 0 $aeng 181 $ctxt 182 $cc 183 $acr 200 10$aGlobal Liquidity, Risk Premiums and Growth Opportunities /$fGianni De Nicolo, Iryna Ivaschenko 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a1 online resource (45 p.) 225 1 $aIMF Working Papers 300 $a"March 2009". 311 $a1-4519-1635-3 320 $aIncludes bibliographical references. 327 $aCover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Liquidity Indicators: Theory and Measurement; A. A simple model of liquidity; B. Measurement; III. Liquidity Indicators: Evidence; A. Data; B. Descriptive Statistics; 1. Global Liquidity Indicators; 2. G-7 Equity and Bond Liquidity Indicators; 3. Emerging Markets Liquidity Indicators: Latin America; 4. Emerging Markets Liquidity Indicators: Asia; 5. Emerging Markets Liquidity Indicators: Europe; 6. Liquidity Indicators: Mean and Standard Deviation; C. Dynamics and Co-Movements; 7. Liquidity Indicators: Trend Coefficients 327 $a1. Fixed Effect Panel Regressions 2. Liquidity Indicators: Dynamics of Cross Sectional Variances; 8. Liquidity Indicators: Correlations; D. Systemic Liquidity Shocks; 9. Indicators of Global Systemic Liquidity Shocks; 3. Bi-variate VAR of Global Equity and Bond Systemic Liquidity Shocks; IV. Liquidity and bond premiums; A. Advanced Economies; 4. Government Bond Spreads and Liquidity: Advanced Economies; B. Emerging Economies; 5. EMBI Spreads and Liquidity: Emerging Economies; V. Liquidity and growth opportunities; 6. Price-Earning (PE) Ratios and Liquidity; VI. Conclusion; References 327 $aFootnotes 330 3 $aThis paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and comovements, and assesses the extent to which such measures are determinants of selected spreads and proxy measures of countries' growth opportunities. Three main results obtain. First, there is evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity indicators appear to be important determinants of bond spreads in advanced economies and EMBI spreads in emerging markets. Third, improvements in market liquidity have significant real effects, as liquidity indicators have a significant positive impact on proxy measures of countries' growth opportunities. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/052 606 $aLiquidity (Economics) 606 $aRisk management 606 $aEconomic development 606 $aFinance: General$2imf 606 $aFinancial Aspects of Economic Integration$2imf 606 $aInternational Financial Markets$2imf 606 $aPortfolio Choice$2imf 606 $aInvestment Decisions$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aFinance$2imf 606 $aLiquidity indicators$2imf 606 $aLiquidity$2imf 606 $aStock markets$2imf 606 $aSecurities markets$2imf 606 $aInternational liquidity$2imf 606 $aLiquidity management$2imf 606 $aAsset and liability management$2imf 606 $aFinancial markets$2imf 606 $aEconomics$2imf 606 $aStock exchanges$2imf 606 $aCapital market$2imf 606 $aInternational finance$2imf 607 $aUnited States$2imf 615 0$aLiquidity (Economics) 615 0$aRisk management. 615 0$aEconomic development. 615 7$aFinance: General 615 7$aFinancial Aspects of Economic Integration 615 7$aInternational Financial Markets 615 7$aPortfolio Choice 615 7$aInvestment Decisions 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aFinance 615 7$aLiquidity indicators 615 7$aLiquidity 615 7$aStock markets 615 7$aSecurities markets 615 7$aInternational liquidity 615 7$aLiquidity management 615 7$aAsset and liability management 615 7$aFinancial markets 615 7$aEconomics 615 7$aStock exchanges 615 7$aCapital market 615 7$aInternational finance 676 $a332.1 676 $a332.10688 700 $aDe Nicolo$b Gianni$0375199 701 $aIvaschenko$b Iryna$01464023 712 02$aInternational Monetary Fund.$bResearch Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788346903321 996 $aGlobal Liquidity, Risk Premiums and Growth Opportunities$93716520 997 $aUNINA