A rich literature has established the importance of global funding conditions (‘globalliquidity’) for the international financial system (e.g. Borio, McCauley, and McGuire2011). In particular, Eickmeier, Gambacorta, and Hofmann (2014) made an important contribution by presenting a structural...

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

We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic factor model in the spirit of Eickmeier,Gambacorta, and Hofmann (2014). Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows...

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...

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...

According to a growing body of empirical literature, global shocks have become less important for business cycles in industrialized countries and emerging market economies since the mid-1980s. In this paper, we analyze the question of what might have caused a decoupling from the global business...

We statistically test for the factor structure driving common global dynamics in macroeconomic and financial data by employing a stochastic factor selection approach. Using a sample of 16 developed countries from 1996Q1 to 2019Q4, we find strong evidence of a global macro-financial cycle and an...

The literature on international business cycles has employed dynamic factor models to disentangle global from group-specific and national factors in countries' macroeconomic aggregates. Therefore, the countries have simply been classified ex ante as belonging to the same region or the same level...