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Spatial analysis of liquidity risk in China
Institution:1. Department of Finance, National Taichung University of Science and Technology, Taiwan;2. School of Economics and Management, Nanchang University, China;1. Research Center of the Central China for Economic and Social Development, Nanchang University, China;2. School of Economics and Management, Nanchang University, China;3. Department of Accounting Information, National Taichung University of Science & Technology, Sanmin Rd., Sec. 3, Taichung 40401, Taiwan;1. Department of Mathematical Sciences, Korea Advanced Institute of Science and Technology (KAIST), Daejeon 34141, Republic of Korea;2. School of Business Administration, Ulsan National Institute of Science and Technology (UNIST), Ulsan 44919, Republic of Korea;1. School of Securities and Futures, Southwestern University of Finance and Economics, China;2. Department of Finance, National Central University, No. 300, Jhongda Rd., Jhongli City, Taoyuan County 32001, Taiwan, ROC;3. School of Securities and Futures, Southwestern University of Finance and Economics, No. 55, Guanghuacun Street, Chengdu, Sichuan 610074, China;1. School of Finance and Accounting, Fuzhou University of International Studies and Trade, No. 28, Yuhuan Road, Shouzhan New District, Changle, Fuzhou City, Fujian Province, China;2. International School of Business and Finance, Sun Yat-sen University, Zhuhai City, Guangdong Province, 519082, China;3. Department of Finance, National Sun Yat-sen University, No. 70 Lien-hai Rd., Kaohsiung 804, Taiwan, ROC;1. Division of Economics, Nanyang Technological University, Singapore 639805, Singapore;2. School of Economics and Commerce, South China University of Technology, China;3. Research Center of Financial Engineering, South China University of Technology, China
Abstract:This study investigates the interaction of liquidity risk in Chinese banks through a spatial econometric method that includes geographical and economic relations. The former is defined as sharing the same border, and the latter considers both bank type and lending behavior. We find evidence of liquidity spillovers through varying spatial dependence based on geographical and economic closeness within banks. The results highlight the importance of liquidity management and provide evidence of risk co-movement for regulators taking a new viewpoint on liquidity regulation.
Keywords:China  Bank  Spatial analysis  Liquidity risk  Spillovers  C21  G21
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