CrossBorder Capital Monthly Global Liquidity Indexes (GLI)

CrossBorder Capital's monthly Global Liquidity Indexes (GLI) provide a comprehensive analysis of the factors affecting liquidity provision and financial stability. The data cover 80 economies Worldwide and include Central Bank interventions; domestic institutional flows, and net cross-border capital flows. The data are available in both nominal and index terms, for the most part start in 1980, and can be downloaded in excel form through an app. These data have been commercially available to subscribers for over twenty years, but they are now being offered to bona fide academics for their research purposes at a 90% discount, on application and approval.

GLOBAL LIQUIDITY INDEXES (GLI) OVERVIEW: The CrossBorder Capital Global Liquidity Indexes (GLI) are comprehensive monthly surveys of carefully selected financial variables. They provide an advance indicator of 'financial stress', and of what will happen to financial markets and the real economy, by tracking data on credit spreads, available funding, cross-border flows and Central Bank interventions across some 80 countries worldwide. Composite index and underlying nominal flow data are available by country. Each national economy is further represented by three sub-indexes measuring (1) Central Bank, (2) domestic institutional, and (3) net foreign liquidity. This coverage embraces the (A) leading industrial economies, the (B) emerging markets, and many so-called (C) frontier markets.

Liquidity' reflects financial intermediation beyond the traditional banking system. Structural change renders once useful money supply measurements out-dated. Commercial banks no longer dominate credit provision as they once did, and, even among these banks, non-deposit sources of funding have become substantial. Alternatively, some analysts now look to so-called 'financial condition indexes', but these are barometers and not leading indicators. Therefore, we dig deeper into flow of funds statistics to find the roots of this 'new liquidity' among the shadow banks', wholesale money markets' and Central Bank balance sheets. We attempt to measure changes in the size of financial intermediaries' balance sheets monthly by applying a common template to different national economies. This source of funds measure we dub 'funding liquidity' and present it in standardised index form.

The GLI and its national sub-components are Granger Causal for many key financial, economic and risk variables. Generally, the GLI lead financial market variables by around 6-9 months and economic variables by12-18 months. The data are easily downloadable in excel format using an app. After regularly publishing this liquidity data for more than twenty-years as a commercial enterprise to subscribers, from March 2013 bona fide academics can obtain a full copy of the index database for their own research purposes, at a nominal 10% charge, on application and approval.

FURTHER INFORMATION: For our latest liquidity analysis follow our blog: http://www.crossbordercapital.com/Blog

For further information or to subscribe please contact us at: data@liquidity.com or +44 (0)20 7908 2800

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