We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real...

One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However, one often finds better results when directly fitting an...

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...

We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic factor model. Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows directed at businesses, households and governments. We show...

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...