THE VT INDEX AS AN INDICATOR OF MARKET LIQUIDITY RISK IN SLOVAKIA

• Authors: Teplý Petr , Michal Vrábel , Liběna Černohorská
• Languages of publication: EN

Abstracts

EN

In this paper we construct a new market liquidity index for Slovakia (called the VT index) based on the calculation of using traditional indicators of market depth, resiliency, tightness, volatility and liquidity for four markets (money, foreign exchange, bond and stock market) and back-tested the index for the years 2001 – 2008. The VT index began decreasing in the first half of the year 2008 and continued to fall after Lehman Brothers’ collapse in September 2008. Although market liquidity deteriorated globally, major liquidity problems were avoided by individual financial institutions in Slovakia, due to relatively strong macroeconomic fundamentals of the Slovak economy in the pre-crisis period.

Keywords

EN

LIQUIDITY; GLOBAL FINANCIAL CRISIS; LIQUIDITY RISK; MARKET LIQUIDITY; REGULATION; SLOVAKIA; VT INDEX

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2012
• Volume: 60
• Issue: 3
• Pages: 223 – 238

Contributors

author

Teplý Petr

• Univerzita Karlova Praha, Fakulta společenských věd, Ústav ekonomických studií, Opletalova 26, 110 00 Praha 1, Czech Republic

author

Michal Vrábel

author

Liběna Černohorská