Does global liquidity matter for monetary policy in the euro area?

Does global liquidity matter for monetary policy in the euro area? / prepared by Helge Berger and Thomas Harjes.

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...

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Bibliographic Details
Main Authors: Berger, Helge (Author), Harjes, Thomas, 1969- (Author)
Format: eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, ©2009.
Series:IMF working paper ; WP/09/17.
Subjects:
Liquidity (Economics)
Monetary policy > Europe.
Monetary policy
Europe
Online Access:Click for online access
Table of Contents:
  • Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. How to Identify Movements in Liquidity Relevant for Monetary Policy?; III. Some Stylized Facts; 1. Excess Liquidity, 1970Q1-2008Q2; 2. Dynamic Correlation Coefficients of Excess Liquidity; IV. Global Excess Liquidity and EA Inflation; A. Within Sample; Table 1. The Impact of EA, US, and JP Excess Liquidity on Future Inflation; B. Out-of Sample; 3. RMSEs for Alternative Models of Euro Area Inflation for the Forecasting Period 1991Q1 to 2007 Q1.
  • v. A Glimpse at the Link between Global Liquidity and Monetary Policy Effectiveness4. 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; VI. Conclusion; Appendix; References; Footnotes.

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