Volatility spillovers and dynamic correlation between liquidity risk factors in Tunisian banks Online publication date: Wed, 02-Jul-2014
by Dorra Zouari; Achraf Ghorbel; Sonia Ghorbel-Zouari; Younes Boujelbène
International Journal of Managerial and Financial Accounting (IJMFA), Vol. 6, No. 1, 2014
Abstract: This paper analyses the volatility spillover and the dynamic correlation between liquidity risks factors in Tunisian banks over 1990:1 2011:12. Based on the BEKK-GARCH estimation results, we find a significant volatility spillover between deposit and loan to economy and between securities portfolio and equity, respectively. Also, the results show a bidirectional volatility transmission between deposit and the most important determinants of liquidity risk. Besides, the dynamic correlation shows that deposits and equity are the main important resources for banks in order to finance economy. With these resources, banks can allocate more credit and invest in securities market. Also, the volatility spillover explains the contagion between all liquidity factors. These findings must induce Tunisian policymakers to impose measures such as exposure limits to reduce the liquidity contagion likelihood, as part of the macro-prudential approach, to stabilise growth.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Managerial and Financial Accounting (IJMFA):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook