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Macroeconomic liquidity, bank liquidity, market liquidity

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

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  1. Macroeconomic liquidity, bank liquidity, market liquidity Patrick ARTUS AFGAP - PRMIA - Scientific CommitteeAnnual Conference on LiquidityParis – April 5, 2012

  2. Three concepts of liquidity 1. Macroeconomic liquidity

  3. Monetary base (as % of GDP)

  4. Liquid and money-market assets held by companies (as % of GDP)

  5. United States: Outstanding assets held by households (as % of GDP)

  6. Euro zone: Assets held by households (in value terms, as % of GDP)

  7. Three concepts of liquidity 2. Bank liquidity

  8. Bank’s reserves at the central bank (as% of GDP)

  9. United States: Term deposits, sight deposits and bonds in banks’ liabilities (as % of GDP)

  10. United States: Structure of banks' assets(as % of GDP)

  11. Euro zone: Term deposits, sight deposits and bonds in banks’ liabilities (as % of GDP)

  12. Euro zone: Structure of banks' assets (as % of GDP)

  13. Three concepts of liquidity 3. Financial market liquidity

  14. Interest rate on 10-year government bonds

  15. Covered bond spread against swaps (in bp)

  16. Bank CDS and spread on senior debt of euro-zone banks against swaps

  17. High-yield credit spread (asset swaps, bp)

  18. BBB credit spread (asset swaps, bp)

  19. Stock market indices (2002:1 = 100)

  20. Relationship # 1Macroeconomic liquidity and bank liquidity

  21. Monetary base (in local currency)

  22. Banks' reserves at the central bank (in local currency)

  23. United States: Households’ net purchases of Treasuriesand liquid and money-market assets (as % of GDP)

  24. United States: M2 money supply and net monthly household savings rate

  25. Bank loans to the private sector* (Y/Y as %)

  26. Relationship # 2Liquidity sought by non-banking economic agents and transformation risk: who should be exposed to liquidity risk?

  27. Outstanding bank loans to companies (as % of GDP)

  28. Outstanding bonds issued by non-financial companies (as % of GDP)

  29. Outstanding bonds of non-financial companies(in USD bn) *Subject to minimum amount and maturity Sources: Merrill - BoA, Natixis

  30. Assets held by the Federal Reserve (USD bn)

  31. Assets held by the Federal Reserve (USD bn) Sources: Federal Reserve, Datastream, Natixis

  32. Outstanding government bonds held by the central bank

  33. United States: Outstanding ABS and liabilities of ABS issuers (in USD bn)

  34. Interest rate margin on fixed-rate business loans against swap rates

  35. Interest rate margin on fixed-rate household loans against swap rates

  36. Relationship # 3Bank liquidity and market liquidity

  37. Euro zone: Total outstanding repos(MRO + LTRO, in EUR bn)

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