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Macroeconomic liquidity, bank liquidity, market liquidity. Patrick ARTUS. AFGAP - PRMIA - Scientific Committee Annual Conference on Liquidity Paris – April 5, 2012. Three concepts of liquidity. 1. Macroeconomic liquidity. Monetary base (as % of GDP).
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Macroeconomic liquidity, bank liquidity, market liquidity Patrick ARTUS AFGAP - PRMIA - Scientific CommitteeAnnual Conference on LiquidityParis – April 5, 2012
Three concepts of liquidity 1. Macroeconomic liquidity
Liquid and money-market assets held by companies (as % of GDP)
United States: Outstanding assets held by households (as % of GDP)
Euro zone: Assets held by households (in value terms, as % of GDP)
Three concepts of liquidity 2. Bank liquidity
United States: Term deposits, sight deposits and bonds in banks’ liabilities (as % of GDP)
Euro zone: Term deposits, sight deposits and bonds in banks’ liabilities (as % of GDP)
Three concepts of liquidity 3. Financial market liquidity
Bank CDS and spread on senior debt of euro-zone banks against swaps
United States: Households’ net purchases of Treasuriesand liquid and money-market assets (as % of GDP)
United States: M2 money supply and net monthly household savings rate
Relationship # 2Liquidity sought by non-banking economic agents and transformation risk: who should be exposed to liquidity risk?
Outstanding bonds issued by non-financial companies (as % of GDP)
Outstanding bonds of non-financial companies(in USD bn) *Subject to minimum amount and maturity Sources: Merrill - BoA, Natixis
Assets held by the Federal Reserve (USD bn) Sources: Federal Reserve, Datastream, Natixis
United States: Outstanding ABS and liabilities of ABS issuers (in USD bn)
Interest rate margin on fixed-rate business loans against swap rates
Interest rate margin on fixed-rate household loans against swap rates