Knowledge Bank

Background Notes Methodology & Application of the GLI™

Research Notes
Filter by
Research Note 1: Principal Components Analysis
Research Note 2 : Granger Causality Tests
Research Note 3 : Citigroup Economic Surprise Indexes
Research Note 4 : The New Transmission Route – Liquidity Drives Investment Term Premia
Research Note 5 : Investor Exposure & Risk Appetite Indexes
Research Note 6 : Implementing Liquidity Index Data Into An Asset Allocation Framework
Research Note 7 : Tactical Asset Allocation (TAA) and Tactical Style Selection (TSS) Using Liquidity Data
Research Note 8 : Money, Credit and Global Liquidity
Research Note 9 : Measuring Liquidity Risk With The Global Risk Index
Research Note 10 : Emerging Market Asset Allocation – Country Fund Allocation
Research Note 11 : Exchange Rates and Liquidity Factors
Research Note 12 : The Federal Reserve and Monetary Transmission

What others
say about liquidity

…financial crises create and are then perpetuated by illiquidity…concerns about liquidity rapidly become concerns about solvency…the evolution of the financial system away from traditional banking [and] towards a system dominated by a complex network of collateralized lending relationships serves only to increase the primacy of liquidity

US Federal Reserve

…in the run-up to the financial crisis the level of global liquidity was an important determinant of asset price and consumer price dynamics in several economic regions … and… measures of global liquidity are one of the best performing leading indicators of asset price booms and busts.

ECB (2012)

… global monetary liquidity measures … are more informative than real variables in detecting boom and bust cycles.

Alessi and Detken (2011)

…the major thing we look at is liquidity … looking at the great bull markets of this century, the best environment is a very dull, slow economy that the Federal Reserve is trying to get going…

Stanley Druckenmiller
Barron’s Interview

…with respect to crises, the results of our analysis are clear: credit matters, not money … financial crises throughout history can be viewed as ‘credit booms gone wrong’ … [and] past growth of credit emerges as the single best predictor of future financial instability…

Schularick, M and Taylor, A
in Credit Booms Gone Bust, NBER Working Paper

Global liquidity has become a key focus of international policy debates over recent years. This reflects the view that global liquidity and its drivers are of major importance for international financial stability… In a world of high capital mobility, global liquidity cannot be approached as it used to be a few decades ago. It has both an official and a private component…These two concepts both capture one common element, namely the ease of financing

Bank for International Settlements