Liquidity: where has it all gone?

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As part of our cycle on “Liquidity” and as an appetizer, I’d like to show how interesting dates are when it comes to estimating money market liquidity risk-on/risk-off bouts using the ECB “liquidity risk indicator” (LRI, see plot below): the last ‘changepoint’ in the LRI is at the end of July 2012 and matches Mr Draghi’s well acclaimed ‘whatever it takes’ speech (July 26, 2012).

LRI_LR

 

 

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2 comments on “Liquidity: where has it all gone?
  1. Sven Larsson says:

    Did you do the plot using ggplot2 in R?

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