Skip navigation
Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp011544br53g
Title: US Market Liquidity and Its Macroeconomic and Financial Implications: Constructing a Composite Liquidity Index Using Dynamic Factor Models
Authors: Cassard, Michel
Advisors: Watson, Mark W.
Department: Economics
Class Year: 2016
Abstract: This paper uses dynamic factor model estimation to create a novel index for US xed income nancial market liquidity. This liquidity measure spans the dimensions of liquidity and consider its dynamics. The index o ers insight into the current debate between policymakers and the private sector regarding the state of liquidity in US markets since the recent nancial crisis. The liquidity index depicts a new, lower liquidity level with higher liquidity volatility com- pared to pre-crisis, a result that had not been shown empirically before. The liquidity index is then incorporated into a large-scale factor augmented vector autoregressive model for US real and financial markets. This estimation offers some of the first quantitative insight into the relationship between liquidity and a rich set of US variables.
Extent: 95 pages
URI: http://arks.princeton.edu/ark:/88435/dsp011544br53g
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Economics, 1927-2023

Files in This Item:
File SizeFormat 
Economics_Senior_Thesis_Submission_Click_Here_To_Submit_mcassard_attempt_2016-04-12-12-36-07_cassard_michel.pdf2.96 MBAdobe PDF    Request a copy


Items in Dataspace are protected by copyright, with all rights reserved, unless otherwise indicated.