Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK
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DOI: 10.1016/j.jbankfin.2018.02.013
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Citations
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- Múnera, Daimer J. & Agudelo, Diego A., 2022. "Who moved my liquidity? Liquidity evaporation in emerging markets in periods of financial uncertainty," Journal of International Money and Finance, Elsevier, vol. 129(C).
- Ellington, Michael & Milas, Costas, 2019.
"Global liquidity, money growth and UK inflation,"
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- Michael Ellington & Costas Milas, 2014. "Global liquidity, money growth and UK inflation," Working Paper series 21_14, Rimini Centre for Economic Analysis.
- Abudy, Menachem Meni, 2020. "Retail investors’ trading and stock market liquidity," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Baruník, Jozef & Ellington, Michael, 2024.
"Persistence in financial connectedness and systemic risk,"
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- Jozef Barunik & Michael Ellington, 2020. "Persistence in Financial Connectedness and Systemic Risk," Papers 2007.07842, arXiv.org, revised Nov 2023.
- Cotter, John & Hallam, Mark & Yilmaz, Kamil, 2023.
"Macro-financial spillovers,"
Journal of International Money and Finance, Elsevier, vol. 133(C).
- John Cotter & Mark Hallam & Kamil Yilmaz, 2020. "Macro-Financial Spillovers," Working Papers 202005, Geary Institute, University College Dublin.
- Ellington, Michael & Milas, Costas, 2021. "On the economic impact of aggregate liquidity shocks: The case of the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 737-752.
- Inekwe, John Nkwoma, 2020. "Liquidity connectedness and output synchronisation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
- Saumya Ranjan Dash & Debasish Maitra & Byomakesh Debata & Jitendra Mahakud, 2021. "Economic policy uncertainty and stock market liquidity: Evidence from G7 countries," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 611-626, June.
- Ellington, Michael & Fu, Xi & Zhu, Yunyi, 2023. "Real estate illiquidity and returns: A time-varying regional perspective," International Journal of Forecasting, Elsevier, vol. 39(1), pages 58-72.
- Priyanka Naik & Y. V. Reddy, 2021. "Stock Market Liquidity: A Literature Review," SAGE Open, , vol. 11(1), pages 21582440209, January.
- Chia‐Yi Yen & Yu‐Hsi Chou, 2020. "Understanding The Macroeconomic Impact Of Illiquidity Shocks In The United States," Economic Inquiry, Western Economic Association International, vol. 58(3), pages 1245-1278, July.
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"Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR,"
Journal of International Money and Finance, Elsevier, vol. 72(C), pages 93-117.
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More about this item
Keywords
Stock market illiquidity; Time-varying parameter VAR; Macro-financial linkages; Sign restrictions;All these keywords.
JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
Statistics
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