macroeconomic liquidity, bank liquidity, market liquidity

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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). - PowerPoint PPT Presentation

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  • Macroeconomic liquidity, bank liquidity, market liquidity Patrick ARTUSAFGAP - PRMIA - Scientific Committee Annual Conference on Liquidity Paris April 5, 2012

    Emetteur - Titre de la presentation - Date

  • 1. Macroeconomic liquidityThree concepts of liquidity

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  • Monetary base (as % of GDP)

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

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

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

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  • 2. Bank liquidityThree concepts of liquidity

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  • Banks reserves at the central bank (as% of GDP)

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

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

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

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

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  • 3. Financial market liquidityThree concepts of liquidity

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  • Interest rate on 10-year government bonds

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  • Covered bond spread against swaps (in bp)

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

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  • High-yield credit spread (asset swaps, bp)

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  • BBB credit spread (asset swaps, bp)

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  • Stock market indices (2002:1 = 100)

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  • Relationship # 1

    Macroeconomic liquidity and bank liquidity

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  • Monetary base (in local currency)

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

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

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

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

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  • Relationship # 2

    Liquidity sought by non-banking economic agents and transformation risk: who should be exposed to liquidity risk?

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  • Outstanding bank loans to companies (as % of GDP)

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

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  • Outstanding bonds of non-financial companies(in USD bn)*Subject to minimum amount and maturitySources: Merrill - BoA, Natixis

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  • Assets held by the Federal Reserve (USD bn)

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

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  • Outstanding government bonds held by the central bank

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

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  • Interest rate margin on fixed-rate business loans against swap rates

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  • Interest rate margin on fixed-rate household loans against swap rates

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  • Relationship # 3

    Bank liquidity and market liquidity

    Emetteur - Titre de la presentation - Date

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

    Emetteur - Titre de la presentation - Date

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