Interconnectedness of banks in selected Asia-Pacific countries and risk of contagion on Philippine banks
In the international transmission of shocks, banks play a specific role. In particular, the liquidity supply of a local banking system may be threatened by the economic condition of its foreign counterparty bank. A possible transmission of shock may be detected by assessing the long-run relationship...
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| Format: | text |
| Language: | English |
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Animo Repository
2019
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_masteral/7151 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | In the international transmission of shocks, banks play a specific role. In particular, the liquidity supply of a local banking system may be threatened by the economic condition of its foreign counterparty bank. A possible transmission of shock may be detected by assessing the long-run relationship of macro-economic and financial variables of a foreign counterparty. In order to investigate the long-run equilibrium of Philippine banks’ cross-border liquidity position to selected macro-economic variables of selected Asia-Pacific provider of funds, this study utilizes Johansen Test for Cointegration, followed by Vector Error Correction Model or Autoregressive Distributed Lag Model to further test for any short-run dynamics. Results of this study reveal that long run, as well as short-run relationships among indicators, varies from each counterparty. Hence, there is a need to perform individual surveillance. |
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