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Spatial analysis of liquidity risk in China

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  • Chen, Ting-Hsuan
  • Lee, Chien-Chiang

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.

Suggested Citation

  • Chen, Ting-Hsuan & Lee, Chien-Chiang, 2020. "Spatial analysis of liquidity risk in China," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301214
    DOI: 10.1016/j.najef.2019.101047
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    More about this item

    Keywords

    China; Bank; Spatial analysis; Liquidity risk; Spillovers;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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