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Liquidity Shocks and Asset Price Boom/Bust Cycles
Open accessAbstract
We provide systematic evidence for the association of liquidity shocks and aggregate asset prices during mechanically identified asset price boom/bust episodes for 18 OECD countries since the 1970s, while taking care of the endogeneity of money and credit. Our derivation of liquidity shocks allows for frequent shifts in velocity as they are derived as structural shocks from VARs in growth rates. Residential property price developments and money growth shocks accumulated over the boom periods are able to well explain the depth of post-boom recessions. We further suggest that liquidity shocks are a driving factor for real estate prices during boom episodes. During normal times however, the relative predictive power of liquidity shocks seems to shift from asset price inflation to consumer price inflation. The results only hold for broad money growth based liquidity shocks and not for private credit growth shocks. JEL Classification: C33, E41, E51, E58
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What To Do (and Not to Do) with Time-Series Cross-Section Data
Beck, N., & Katz, J. N. (1995) · American Political Science Review · doi:10.2307/2082979 · Cited by 6,840
Agency Costs, Net Worth, And Business Fluctuations
Bernanke, B., Gertler, M., Bernanke, B., & Gertler, M. (1988) · Unknown · doi:10.22004/ag.econ.292693 · Cited by 4,386
Cited by
A Survey of Systemic Risk Analytics
Bisias, D., Flood, M., Lo, A. W., & Valavanis, S. (2012) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-110311-101754 · Cited by 659
A Survey of Systemic Risk Analytics
Bisias, D., Flood, M. D., Lo, A. W., & Valavanis, S. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.1983602 · Cited by 331
Metadata
- Authors
- Adalid, R., & Detken, C.
- Venue
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Published
- 2007
- ISSN
- 1556-5068 (ISSN-L)
- OpenAlex
- W2140455907
- Cited by
- 180
- References
- 5
- Type
- posted content
- Language
- en
- Open access
- green
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