Financial Spillovers to Chile
18 Pages Posted: 7 Nov 2012
Date Written: October 2012
This paper quantifies financial spillovers from global risk factors to banks' funding costs in Chile. It decomposes Chilean banks' bond and interbank spreads into domestic and external factors. The results suggest moderate spillovers. On average, global spillovers pushed up bank bond and interbank spreads in Chile by about 50 basis points in 2008-12. While in 2008-09, most spillovers originated in the U.S., in mid-2010 onwards, European distress played a prominent role.
Keywords: Credit Spread, Interbank Market Spread, Financial Spillover, bond, interbank market, bond market, banking, banking sector, domestic liquidity, bonds, bond spread, bank bond, net interest margin, return on assets, stock market, bank credit, bank bond markets, financial market, bank funding, bond markets, financial stability, stock market index, bank bonds, international financial markets, financial intermediation, risk-free interest rate, bond yield, treasury bonds, corporate bond, banking industry, financial markets, banking system, domestic interest rates, bank deposits, bank instrument, subordinated debt, banksliabilities, bank for international settlements, deposit rates, financial sys
JEL Classification: G01, G12, G15
Suggested Citation: Suggested Citation