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Why Liquidity

Data on its own is of no use unless it helps you make decisions. CrossBorder’s liquidity data provides you with early warning on both economic and financial variables.

To demonstrate this , we use Granger Causality Tests to ascertain the probability that CrossBorder Capital’s Liquidity Indexes lead a range of variables.

A 6-month lead time is taken as the default and we test monthly data from 1980 onwards. We report in the table alongside the results of the tests. The intensity of the ticks refers to greater significance and confidence in the causality result.

Significant at 1% level
Significant at 5% level
Significant at 10% level
Significant at 20% level
Not Significant


Liquidity proves 'causal' in over three-quarters of cases at the 5% significance level or better.
Liquidity Causal?
US Liquidity
  • US CitiGroup ESI
  • US ISM
  • US NBER
  • Yield Curve (10y-2y)
  • Gold price
  • Global Liquidity
  • VIX
  • US Equities (PE)
  • US Equities (yield gap)
  • CTAs
  • US$(Trade-Weighted)
  • US Baa Spread
UK Liquidity
  • UK CBI Business Survey
  • UK PMI
  • Yield Curve (10-3m)
Japanese Liquidity
  • Leading Indicator
  • Yen (Trade-Weighted)
  • Japan Equities (PE)
  • Japan Equities (tot.ret)
  • Yield Curve (10-3m)
Eurozone Liquidity
  • EU Business Climate
  • EZ CitiGroup ESI
  • EZ Equities (av.PE)
  • EZ Equities (tot. Return)
  • Yield Curve (10-3m)
Chinese Liquidity
  • Chinese CitiGroup ESI
Global Liquidity
  • OECD Growth
  • Leading Indicator
  • World CitiGroup ESI
  • EM CitiGroup ESI
  • World Equities (PE)
  • EM Equities (PE)
  • EM Equities (tot.return)
  • Yield Curve(10-3m)


 
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