The Role of Global Liquidity in Global Yield Dynamics
- 주제(키워드) Term structure , Global liquidity , Dynamic factor model , Global yield , Yield curve
- 발행기관 서울대학교 경제연구소
- 발행년도 2023
- 총서유형 Journal
- DOI http://dx.doi.org/10.22904/sje.2023.36.2.002
- KCI ID ART002962555
- 본문언어 영어
초록/요약
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.
more