| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 101 === The significance of credit risk and liquidity risk of interbank loan on the global
financial market has been highlighted by the event of financial crisis. The relationship
between the interbank risk indicators – credit risk and liquidity risk, and the global
stock market, emerging debt market, foreign exchange market, and commodity
market are tested in this study, to provide support that the interbank loan risk
indicators may also be used as precautionary risk indicators of the international
financial market and commodity market, and to assist in decision-making of the bank
risk managers and investors as reference.
This study takes CDS、TED spread、Libor-OIS、Euribor-Eonia as independent
variables, and MSCI World index、JP Morgan Emerging Market Bond Index Global、
US Dollar Index、S&P GSCI Commodity Index as dependent variables, and analyze
them by using Unit Root Test、ARCH LM Test、Asymmetry Test and GJR-GARCH
Model. The empirical results of indicate the following:
1. The interbank credit risk is significantly related to the current period return of the
global stock markets, emerging debt market, USD foreign exchange market, and
commodity market. The negative relationship is present with all markets, except
the USD foreign exchange market, which has a positive relationship. A significant
relationship also exists with the lagged return of the emerging debt market, USD
foreign exchange market and commodity market.
2. The interbank USD liquidity risk is negatively and significantly related to the
lagged return of the emerging debt market. EUR liquidity risk is positively and
significantly related to the current period return of the USD foreign exchange
market, but negatively and significantly related to both the current period and
lagged return of the commodity market.
The results imply a causal relationship, whereas the interbank risks increase, there
is sign of fund flowing into the USD foreign exchange market for risk aversion, and
that the credit risk variables respond faster than the emerging debt market、USD
foreign exchange market and commodity market , and liquidity risk variables respond
faster than the emerging debt market and commodity market. The results also indicate
the “flight to liquidity and flight to quality” effect of the fund in the financial market.
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