금융시장
Money Flow Analysis Series (29) : The Impact of Excess Liquidity on Asset Prices
2010-02-18KIM, Wan-Joong
목차
요약
The rapid increase in excess short-term liquidity is raising concerns on rising asset prices
Short-term liquidity has increased significantly due to the expanded money supply and
monetary easing policies implemented by the central bank and the government in response to the global financial crisis.
Home prices in Korea declined temporarily immediately following the crisis, but have been rising once more on the back of eased regulations and monetary policies. The impact of market liquidity on asset yields, particularly real estate, has thus been gaining attention.
The long and short-term impact of excess liquidity on asset prices differs by sector
The impact of various liquidity measures, including Lf, M2, M1, M1+MMF and domestic
credit, on equity and real estate returns was analyzed using a VAR model.
Impact of long-term excess liquidity on equity returns : Lf, M2 and CREDITGAP had a
statistically significant, positive, long-term impact on equity returns.
Impact of short-term excess liquidity on equity returns : M1 and M1+MMFGAP had a
short-lived, limited positive impact on equity returns while increasingly volatility, but the
effect was not statistically significant.
Impact of long-term excess liquidity on real estate returns : Lf, M2 and CREDITGAP had a smaller impact on real estate than on equities, and the duration was also shorter. However, the results were not statistically significant.
Impact of short-term excess liquidity on real estate returns : M1 and M1+MMFGAP had
a short-lived, limited positive impact on real estate returns while increasingly volatility,
but the effect was not statistically significant.
Impact of other variables on asset returns : The impact of other macroeconomic variables such as real GDP, CPI, and interest rates was statistically insignificant. Dummy variables for the foreign currency crisis and card crisis had high explanatory power for equity returns.
Housing market supply and demand and housing policy dummy variables had high explanatory power for real estate returns.
Since asset management is a core function for financial institutions, excess liquidity and housing policies should be monitored and a strategic response should be prepared
Financial institutions must be aware of developments in excess liquidity since equities comprise a large portion of their asset management portfolios.
Financial firms that invest directly in real estate or have significant exposure through loans should closely monitor changes in excess liquidity. In addition, shortages in housing supply and changes in the government’s housing policies must be monitored.
Short-term liquidity has increased significantly due to the expanded money supply and
monetary easing policies implemented by the central bank and the government in response to the global financial crisis.
Home prices in Korea declined temporarily immediately following the crisis, but have been rising once more on the back of eased regulations and monetary policies. The impact of market liquidity on asset yields, particularly real estate, has thus been gaining attention.
The long and short-term impact of excess liquidity on asset prices differs by sector
The impact of various liquidity measures, including Lf, M2, M1, M1+MMF and domestic
credit, on equity and real estate returns was analyzed using a VAR model.
Impact of long-term excess liquidity on equity returns : Lf, M2 and CREDITGAP had a
statistically significant, positive, long-term impact on equity returns.
Impact of short-term excess liquidity on equity returns : M1 and M1+MMFGAP had a
short-lived, limited positive impact on equity returns while increasingly volatility, but the
effect was not statistically significant.
Impact of long-term excess liquidity on real estate returns : Lf, M2 and CREDITGAP had a smaller impact on real estate than on equities, and the duration was also shorter. However, the results were not statistically significant.
Impact of short-term excess liquidity on real estate returns : M1 and M1+MMFGAP had
a short-lived, limited positive impact on real estate returns while increasingly volatility,
but the effect was not statistically significant.
Impact of other variables on asset returns : The impact of other macroeconomic variables such as real GDP, CPI, and interest rates was statistically insignificant. Dummy variables for the foreign currency crisis and card crisis had high explanatory power for equity returns.
Housing market supply and demand and housing policy dummy variables had high explanatory power for real estate returns.
Since asset management is a core function for financial institutions, excess liquidity and housing policies should be monitored and a strategic response should be prepared
Financial institutions must be aware of developments in excess liquidity since equities comprise a large portion of their asset management portfolios.
Financial firms that invest directly in real estate or have significant exposure through loans should closely monitor changes in excess liquidity. In addition, shortages in housing supply and changes in the government’s housing policies must be monitored.