Liquidity in the Liquidity Crisis: Evidence from Divisia Monetary Aggregates in Germany and the European Crisis Countries

descriptionPublicationkeyboard_double_arrow_right Conference object , Preprint , Article 01 Jan 2013 English Publisher:Kiel und Hamburg: ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum WirtschaftJournal:Economics Bulletin, volume 34, pages 63-72

Authors: Makram El-shagi; Logan J Kelly;

handle: 10419/79935

Liquidity in the Liquidity Crisis: Evidence from Divisia Monetary Aggregates in Germany and the European Crisis Countries

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Abstract

While there has been some debate over the usefulness of monetary aggregates, there has been surprisingly little discussion of the actual implications for liquidity. In this paper, we provide an approximation of the liquidity development in six Euro area countries from 2003 to 2012. We show that properly measured monetary aggregates contain significant information about liquidity risk.

Keywords

ddc:330, G01, E40, European debt crisis, Divisia aggregation, Liquidity aggregates, Signaling models, Index Number Theory, C43, jel: jel:E40, jel: jel:E4, jel: jel:C43, jel: jel:G01, jel: jel:C8

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