Interbank liquidity risk transmission to large emerging markets in crisis periods |
| |
| Institution: | 1. Institute for Management Research, Radboud University, Netherlands; Department of Finance, Monash University, Malaysia;2. Research Centre for Financial & Corporate Integrity, Coventry University, UK;3. Cardiff Business School, Cardiff University, UK; School of Economics, Finance and Accounting, Coventry University, UK;4. School of Business, Lebanese American University, Lebanon;1. School of Economics and Management, Beihang University, Beijing 100191, China;2. Beijing Advanced Innovation Center for Big Data and Brain Computing, Beihang University, Beijing 100191, China;1. School of Management and Engineering, Nanjing University, Nanjing, Jiangsu 210093, China;2. School of Economics and Management, Tsinghua University, Beijing 100084, China;3. School of Management, Shanghai University of Engineering Science, Shanghai 201620, China;4. Faculty of Business, Athabasca University, Athabasca, Alberta T9S 3A3, Canada;5. Odette School of Business, University of Windsor, Windsor, Ontario N9B 3P4, Canada;1. Department of Management, University of Bologna, Via Capo di Lucca, 34, 40126 Bologna, Italy;2. University of Edinburgh, Business School, 29 Buccleuch Place, Edinburgh, EH8 9JS, United Kingdom;3. University of Chieti-Pescara, Via Luigi Polacchi, 11, Chieti 66100, Italy |
| |
| Abstract: | In this paper, we conduct two investigations regarding funding liquidity risk in large emerging economies: Brazil, Russia, India, China, and South Africa — BRICS. In the first, we track the relevance of monetary policy decisions originating in developed economies for interbank funding liquidity risk in BRICS economies during crisis periods by applying a time-varying parameter model in a Bayesian framework. The results indicate weak associations between interbank credit market and US monetary policy and market conditions. In contrast, the Federal Reserve's National Financial Conditions Index (NFCI) — a representative of the health of both real and financial sectors in the US — matters more. The temporal patterns of the results imply that key central banking decisions precede or coincide with low degrees of associations. In the second, we examine whether interbank credit crunch exerts an influence on market liquidity risk in BRICS economies using a Granger causality approach. The results reveal that interbank credit crunch depresses market liquidity in the corresponding domestic market and that the state of fear and credit market conditions in the US exert some influence in this regard. Overall, our findings hint at judicious market intervention and liquidity management by BRICS central banks. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
