Banking liquidity and systemic risk under panel VAR approach

Aguilar, Alicia; García, Alberto; González, Pablo; Tackett, Taylor

Banking liquidity and systemic risk under panel VAR approach

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Aguilar, A, García, A, González, P, Tackett, T. Banking liquidity and systemic risk under panel VAR approach. 2017. handle: http://hdl.handle.net/10230/34620

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Abstract

This paper aims to empirically analyze how changes in systemic risk, measured by the Composite Indicator of Systemic Stress (CISS), can affect banking liquidity and funding. We focus on and provide critical analysis of the maturity mismatch evolution, an indicator of liquidity, which is of integral importance for the well functioning and stability of the financial system. For that purpose, we use the Panel VAR approach to carry out Impulse Response Functions to compare the effect between stress and non stress countries.