Interconnectedness of banks in selected Asia-Pacific countries and risk of contagion on Philippine banks

Date of Publication

7-2019

Document Type

Master's Thesis

Degree Name

Master of Science in Computational Finance

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Edwin B. Valeroso

Defense Panel Chair

Michael Gines Munsayac

Defense Panel Member

Frumencio F. Co
Joseph James Lago

Abstract/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.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTG008194

Keywords

Banks and banking—Asia; Financial institutions

Upload Full Text

wf_no

Embargo Period

2-17-2025

This document is currently not available here.

Share

COinS