economies. - Risk ; financial crisis ; global transmission ; global VAR (GVAR) ; shocks ; modelling ; US ; advanced economies …The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity …

inflation and growth. It also examines international financial linkages and how the US and the euro area yield curves help to …-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the … US and the euro area yield curves also have in- and out-of-sample information content for future inflation and growth in …

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and … macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common … global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor …

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and … macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common … global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor …

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and … macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common … global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor …

best forecasts accommodating to different risk aversion targets. By modulating in- and out-of sample model accuracy, our …

. Empirical results suggest that the level factor responds to shocks originated from inflation, domestic financial variables, and … global variables. Furthermore, the slope factor is affected by shocks in global variables, and the curvature factor appears …

currency in producing liquidity services …

inflation and growth. It also examines international financial linkages and how the US and the euro area yield curves help to …-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the … US and the euro area yield curves also have in- and out-of-sample information content for future inflation and growth in …