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The Role of Global Liquidity in Global Yield Dynamics
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- Authors
- Issue Date
- 2023-06
- Citation
- Seoul Journal of Economics Vol.36 no.2, pp.193-220
- Keywords
- Term structure ; Global liquidity ; Dynamic factor model ; Global yield ; Yield curve
- Abstract
- With the emergence of global liquidity as an important factor in
the global financial market since the global financial crisis in 2008,
the global financial market has shown interest in the effect of global
liquidity on global yield dynamics. This paper examines the role of
global liquidity in global yield dynamics based on the macro-finance
model. Estimation results show that the global liquidity plays
a more important role in explaining the global level factor than
global inflation, but such macro factors do not seem to explain the
global slope factor. We interpret that global liquidity not only has
information on global commodity inflation but also on global asset
price inflation and future expected inflation and thus has more
explanatory power than global inflation.
- ISSN
- 1225-0279
- Language
- English
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