Shadow Banking, Cross-border Shocks, and Financial Stability in Emerging Economies: A Global VAR analysis

Zhou, Sheunesu; Tewari, Devi Datt

doi:10.31920/1750-4562/2019/14n3a8

Cited by 2 publications

(4 citation statements)

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“…The depreciation of the domestic currency as a result of a shock in shadow banking could be indicative of the cross border nature of shadow banking activities. The results supports findings of Zhou and Tewari (2019a) who conclude that there is a close association between changes in shadow banking activities and international capital flow changes, leading to currency depreciation/appreciation. Impact of shadow bank shocks on both inflation and GDP is very small as shown in the graph, which may be interpreted as not significant.…”

Section: Pvar Lag Order Selectionsupporting

confidence: 89%

Shadow Banking, Bank Liquidity and Monetary Policy Shocks in Emerging Countries: A Panel VAR Approach

Zhou¹

2020

JEBS

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The study provides an analysis of the relationships between monetary policy, shadow banking and bank liquidity in emerging market economies. It is aimed at broadening knowledge on the effect of shadow banking on monetary policy transmission. Furthermore, the study seeks to analyze the impact of changes in bank liquidity on the growth of the shadow banking sector. We employ panel VAR technique to analyse the dynamics of monetary policy, shadow banking and bank liquidity using data for 15 emerging economy countries. A contractionary monetary policy shock results in a decrease in shadow banking and a decrease in bank liquidity. We also find that a positive shock in bank liquidity increases shadow bank growth and a positive shock in shadow banking also increases bank liquidity. The results point to complementarity between shadow banking and bank liquidity; and the interconnectedness between the two markets in emerging economies. We suggest continuous monitoring of shadow banking activities to minimize transmission of risk from the shadow banking system into the banking sector.

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Section: Pvar Lag Order Selectionsupporting

confidence: 89%

Shadow Banking, Bank Liquidity and Monetary Policy Shocks in Emerging Countries: A Panel VAR Approach

Zhou¹

2020

JEBS

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“…While multiple shocks to the financial system can be identified and discussed, the ultimate impact on the economy and financial market stability appears to be common. According to Zhou and Tewari (2019), various studies have utilised stock market index data in the context of GVAR model to simulate financial shock transmissions across national borders. As per Mahajan (2018) study, an attempt was made to gauge the nature and degree of integration of equity market in India, with the global financial market at the back of 2008 external shock.…”

Section: Empirical Literaturementioning

confidence: 99%

“…As per Mahajan (2018) study, an attempt was made to gauge the nature and degree of integration of equity market in India, with the global financial market at the back of 2008 external shock. Zhou and Tewari (2019) cited a shadow banking system as a threat to financial stability.…”

Section: Empirical Literaturementioning

confidence: 99%

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Examining the Effect of Financial Markets Shocks on Financial Stability in South Africa

Hlongwane

Sheefeni²

2022

IJEFI

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The paper analyzed the impact of financial market shocks on financial market stability. The goal was achieved by employing quarterly time-series data spanning from 2003:Q1 to 2020:Q4. The study used various econometric techniques such as stationarity, determining optimal lag length, cointegration analysis, estimating a vector error correction model, impulse response functions and forecast error variance decomposition. Following this, the long run relationship amongst the variables was established. The findings revealed that inflation has a negative impact on financial stability in both the short and long run. Lastly, it was only the shocks in economic activities that was found to have a significant impact on financial stability.

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Shadow Banking, Cross-border Shocks, and Financial Stability in Emerging Economies: A Global VAR analysis

Cited by 2 publications

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Shadow Banking, Bank Liquidity and Monetary Policy Shocks in Emerging Countries: A Panel VAR Approach

Shadow Banking, Bank Liquidity and Monetary Policy Shocks in Emerging Countries: A Panel VAR Approach

Examining the Effect of Financial Markets Shocks on Financial Stability in South Africa

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