The transmission of liquidity shocks via China's segmented money market: Evidence from recent market events Academic Article

abstract

• 2018 Elsevier B.V. This is the first study to explore the transmission paths for liquidity shocks in China's segmented money market. We examine how money market transactions create such pathways between China's closely-guarded banking sector and the rest of its financial system, and empirically capture the transmission of liquidity shocks through these pathways during two recent market events. We find strong indications that money market transactions allow liquidity shocks to circumvent certain regulatory restrictions and financial market segmentation in China. Our findings suggest that a widespread illiquidity contagion facilitated by money market transactions can happen in China and new policy measures are needed to prevent such contagion.

authors

• Bessler, David
• Leatham, David

published proceedings

• JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

altmetric score

• 2.25

author list (cited authors)

• Lu, R., Bessler, D. A., & Leatham, D. J.

citation count

• 3

complete list of authors

• Lu, Ruoxi||Bessler, David A||Leatham, David J

publication date

• January 2018

publisher

• Elsevier  Publisher

published in

• Journal of International Financial Markets, Institutions and Money  Journal

keywords

• Interbank Market
• Liquidity Shock
• Money Market
• Repo
• Shibor
• Transmission

Digital Object Identifier (DOI)

• 10.1016/j.intfin.2018.07.005

start page

• 110

end page

• 126

volume

• 57

URL

• http://dx.doi.org/10.1016/j.intfin.2018.07.005