Global liquidity glut or global savings glut? A structural VAR approach

摘要

Since the late-1990s, the global economy is characterised by historically low risk premia and an unprecedented widening of external imbalances. This paper explores to what extent these two global trends can be understood as a reaction to three structural shocks in different regions of the global economy: (i) monetary shocks (u201cexcess liquidityu201d hypothesis), (ii) preference shocks (u201csavings glutu201d hypothesis), and (iii) investment shocks (u201cinvestment droughtu201d hypothesis). In order to uniquely identify these shocks in an integrated framework, we estimate structural VARs for the two main regions with widening imbalances, the United States and emerging Asia, using sign restrictions that are compatible with standard New Keynesian and Real Business Cycle models. Our results show that monetary shocks potentially explain the largest part of the variation in imbalances and financial market prices. We find that savings shocks and investment shocks explain less of the variation. Hence, a u201cliquidity glutu201d may have been a more important driver of real and financial imbalances in the US and emerging Asia than a u201csavings glutu201d.