Series: IMF Working Papers
Author(s): Tiago Severo
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 July 2012
Keywords: stock returns, banking, bank assets, insurance premium, bond, Econometric Modeling, General Financial Markets,
I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks we...