Financial Spillovers to Chile

Jiri Podpiera

No 2012/254, IMF Working Papers from International Monetary Fund

Abstract: This paper quantifies financial spillovers from global risk factors to banks’ funding costs in Chile. It decomposes Chilean banks’ bond and interbank spreads into domestic and external factors. The results suggest moderate spillovers. On average, global spillovers pushed up bank bond and interbank spreads in Chile by about 50 basis points in 2008–12. While in 2008–09, most spillovers originated in the U.S., in mid-2010 onwards, European distress played a prominent role.

Keywords: WP; liquidity; interbank market; bank; Credit Spread; Interbank Market Spread; Financial Spillover; market liquidity; Euro interbank market; counterparty risk; bond credit spread; Euro interbank market rate; crisis liquidity facility; liquidity factor; market pressure; market spread; efficiency ratio; credit default risk; liquidity premia; Interbank markets; Yield curve; Credit risk; Securities markets; Credit default swap; Global; Europe (search for similar items in EconPapers)
Pages: 17
Date: 2012-10-24
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