Series: IMF Working Papers
Author(s): Woon Choi , Taesu Kang , Geun-Young Kim , and Byongju Lee
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 30 October 2017
Keywords: Global liquidity, Inflation targeting, Panel Factor-Augmented VAR, International Policy Coordination and Transmission
This paper distills and identifies global liquidity (GL) momenta from the macro-financial data of advanced economies through a factor model with sign restrictions as policy-driven, market-driven, and risk aversenes...