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Shadow banking's effects in the Chilean financial system

Shadow banking's effects in the Chilean financial system The Financial Stability Board (FSB) determined that entities classified as shadow banking are of a credit nature because they are capable of affecting the financial system through the entry and exit of capital. This study aims at measuring the impact of shadow banking in the systemic risk in Chile. A sample of 91 institutions (Run) belonging to the mutual funds was used, with a series showing a continuous behaviour between 2004 and 2018.Design/methodology/approachThe measurement is carried out using the conditional value at risk (CoVaR) methodology, which analyses the behaviour of an institution in a regular state against the same institution in a state of stress.FindingsThe results obtained reflect that liquidity mismatches do not have a relevant effect on the systemic risk, while the 2008 crisis does contribute to its decline.Originality/valueThere are less number of literature studies that apply statistical models regarding shadow banking, at least at a quantitative level, so this research is a beginning for other studies, supporting future authors in their new research as a basis. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Academia Revista Latinoamericana de Administración Emerald Publishing

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References (1)

Publisher
Emerald Publishing
Copyright
© Emerald Publishing Limited
ISSN
1012-8255
DOI
10.1108/arla-08-2020-0189
Publisher site
See Article on Publisher Site

Abstract

The Financial Stability Board (FSB) determined that entities classified as shadow banking are of a credit nature because they are capable of affecting the financial system through the entry and exit of capital. This study aims at measuring the impact of shadow banking in the systemic risk in Chile. A sample of 91 institutions (Run) belonging to the mutual funds was used, with a series showing a continuous behaviour between 2004 and 2018.Design/methodology/approachThe measurement is carried out using the conditional value at risk (CoVaR) methodology, which analyses the behaviour of an institution in a regular state against the same institution in a state of stress.FindingsThe results obtained reflect that liquidity mismatches do not have a relevant effect on the systemic risk, while the 2008 crisis does contribute to its decline.Originality/valueThere are less number of literature studies that apply statistical models regarding shadow banking, at least at a quantitative level, so this research is a beginning for other studies, supporting future authors in their new research as a basis.

Journal

Academia Revista Latinoamericana de AdministraciónEmerald Publishing

Published: Jun 29, 2021

Keywords: Shadow bank - G1; Mutual fund - G110; Systemic risk - G120; CoVaR - G180; Liquidity mismatch - G210; Shadow bank - G1; Fondo mutuo ; G110; Riesgo sistémico ; G120; CoVaR ; G180; Desajuste de liquidez; G210

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