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).
Did you do the plot using ggplot2 in R?
Yes, I did. Easy to recognize the gray background, right?