Did the Crisis in the Interbank Market Run parallel to the Crisis in the Capital Market? Cospectral Analysis

Michał Burzała

Published : 2023-11-21

Vol. 59 No. 2 (2015)

Did the Crisis in the Interbank Market Run parallel to the Crisis in the Capital Market? Cospectral Analysis

Michał Burzała

Abstract

For analysts of the crisis it is important to find out whether financial market disturbances occurred simultaneously for different segments of this market. If certain lags are identified, this might form a basis to establish the direction of capital flows. The research hypothesis about the simultaneous occurrence of capital and interbank market disturbances was verified by using cospectral analysis. The results of empirical research that are presented in this article indicate that the covariance of the studied segments of the financial market in the U.S. was very low. This means that the capital market only showed a delayed reaction to single impulses coming from the interbank market in relation to certain crisis events.

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Burzała , M. (2023). Did the Crisis in the Interbank Market Run parallel to the Crisis in the Capital Market? Cospectral Analysis. Safe Bank, 59(2), 96–112. Retrieved from https://ojs.bfg.pl/index.php/bb/article/view/341

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