Sifat, Imtiaz, Zarei, Alireza, Hosseini, Seyedmehdi  ORCID: https://orcid.org/0000-0002-9443-3960 and Bouri, Elie
2022.
Interbank liquidity risk transmission to large emerging markets in crisis periods.
International Review of Financial Analysis
82
, 102200.
10.1016/j.irfa.2022.102200
|
Preview |
PDF
- Accepted Post-Print Version
Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (2MB) | Preview |
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.
| Item Type: | Article |
|---|---|
| Date Type: | Publication |
| Status: | Published |
| Schools: | Schools > Business (Including Economics) |
| Publisher: | Elsevier |
| ISSN: | 1057-5219 |
| Date of First Compliant Deposit: | 12 May 2022 |
| Date of Acceptance: | 10 May 2022 |
| Last Modified: | 19 Nov 2024 14:15 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/149739 |
Citation Data
Cited 3 times in Scopus. View in Scopus. Powered By Scopus® Data
Actions (repository staff only)
 |
Edit Item |
Altmetric
Altmetric