Spatial analysis of liquidity risk in China

Ting-Hsuan Chen and Chien-Chiang Lee ()

The North American Journal of Economics and Finance, 2020, vol. 54, issue C

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 (search for similar items in EconPapers)
JEL-codes: C21 G21 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301214

DOI: 10.1016/j.najef.2019.101047

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