Past Event

INET Seminar Series: ‘Global Liquidity as a Leading Indicator of Financial Crises’

Michael Howell & Hari Krishnan

Liquidity.com

Friday 20th June, 15:30-17:00
INET Oxford Meeting Room (ground floor) INET Oxford
Eagle House, Walton Well Road, OX2 6ED

ABSTRACT:

Every market crisis is different and crises are notoriously difficult to forecast. However, severe drops in risk assets have generally been preceded by a build up of excess leverage, or credit, in the system. The greater the leverage, the more sensitive investors are to random asset price shocks, as they are forced to liquidate positions more quickly. In this lecture, we describe a methodology for track- ing the amount of “liquidity” in the financial system. Our measures of liquidity incorporate credit growth, leverage, available funding, cross-border flows and the magnitude of Central Bank interven- tions. We have created indices that track liquidity over time, over 30 years, covering 80 countries. The liquidity indices provide reasonable forecasts of yield curve and asset class moves and in princi- ple can be incorporated into a crisis prediction model. 

Details:

20 June 2014 15:30 -


Location

INET Oxford

Eagle House, Walton Well Road, Oxford, OX2 6ED


Complexity Economics