The pre-Global Financial Crisis build-up, followed by the post-crisis collapse, in bank liquidity creation in developed countries is well-documented (Berger and Bowman, Berger and Bouwman, Review of Financial Studies 22:3779–3837, 2009). Comparable analyses on developing and emerging countries (DECs) have been severely hindered by the lack of detailed bank-by-bank balance sheet data. This paper proposes a new, high-frequency, Aggregate Bank Liquidity Creation (A-BLC) measure for 114 DECs on a comparable cross-country basis, which relies on macroeconomic, country-wide, banking systems’ balance sheet data. The A-BLC database allows us to assess the extent of bank fragility arising from illiquidity associated with intermediation at the banking system level for every DEC, at a monthly frequency over the period 2001–2016. Our measure captures more accurately than other measures proposed in the literature the evolution of bank liquidity creation in the DECs. Stylised facts and panel-regression analysis suggest a sharp pre-crisis build-up and post-crisis fall in liquidity creation in DECs, larger then that observed for developed countries. In addition, financial depth and stability appear as particularly important drivers of A-BLC in DECs.

Market-oriented housing reforms and the rapid urbanization process have led to spectacular growth in the Chinese real estate sector (RES). However, the changes in the role played by this sector in the structural dynamics of the Chinese economy have not been examined sufficiently. Accordingly, we analyze the intersectoral structural changes to the Chinese RES, its linkages with the rest of the economy, and its growth sources, using four Chinese input–output tables from 2002 to 2017. We depart from existing work on the RES by using the causative matrix approach and structural decomposition analysis, and obtain three main results. First, the RES, which received little non-RES feedback during the 2002–2007 period, has subsequently received much more substantial feedback. Second, the impact of the RES on China's economic growth stems mainly from its forward linkages. Third, the growth in the RES has been driven mainly by domestic demand expansion. Our results highlight that the Chinese RES, which plays a key role in value chains, is highly dependent on its own final demand and a fall in its demand would impede economic development. An important implication of these results is that developing the national economy by stimulating the RES would not be as effective as developing the RES through stimulating the national economy.

In this study, we investigate monthly seasonality in the foreign exchange market. Given the well-known recurrent higher returns in some month than in others in stock markets around the world, we consider it likely that a seasonal outperformance of a country’s stock market over another is associated with similar seasonal patterns in capital flows and exchange rates. A seasonal profit (carry trade) opportunity can be created by the simultaneous appreciation of a country’s currency and the outperformance of its stock market. By focusing on the world’s key currency pairs, the US dollar-Deutsche mark and the US dollar-euro, and by using a Markov-switching framework, we document persistent January and December effects in the foreign exchange market from 1971 to 2017. Analysis of the German-US stock returns differential and their bilateral capital flows reveal similar month effects in 65% of the whole sample.

The speculative nature of the stock market in Mainland China has attracted the attention of many observers. However while the degree of integration of the Hong Kong market with its Mainland counterpart has monopolized the interest of researchers, they have neglected the diffusion of bubbles from the latter to the former. We thus propose the first study of such bubble migration. Focusing on the period 2005–2017, we use the Phillips et al. (Int Econ Rev 56:1043–1078, 2015a; Int Econ Rev 52:201–226, 2015b) recursive explosive root test to detect and date speculative episodes in both markets. We then implement the Greenaway-McGrevy and Phillips (NZ Econ Pap 50:88–113, 2016) methodology to detect the presence of migration between the two markets. We detect significant, but dwindling, bubble migration from Shanghai to Hong Kong.