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Statements

Subject Item
n2:RIV%2F00216208%3A11230%2F12%3A10123345%21RIV13-GA0-11230___
rdf:type
n4:Vysledek skos:Concept
dcterms:description
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. 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.
dcterms:title
The VT Index as an Indicator of Market Liquidity Risk in Slovakia The VT Index as an Indicator of Market Liquidity Risk in Slovakia
skos:prefLabel
The VT Index as an Indicator of Market Liquidity Risk in Slovakia The VT Index as an Indicator of Market Liquidity Risk in Slovakia
skos:notation
RIV/00216208:11230/12:10123345!RIV13-GA0-11230___
n4:predkladatel
n5:orjk%3A11230
n6:aktivita
n16:P
n6:aktivity
P(GPP403/10/P278)
n6:cisloPeriodika
3
n6:dodaniDat
n19:2013
n6:domaciTvurceVysledku
n10:3392376 n10:1901532
n6:druhVysledku
n18:J
n6:duvernostUdaju
n11:S
n6:entitaPredkladatele
n13:predkladatel
n6:idSjednocenehoVysledku
178650
n6:idVysledku
RIV/00216208:11230/12:10123345
n6:jazykVysledku
n17:eng
n6:klicovaSlova
VT index; Slovakia; regulation; market liquidity; liquidity risk; global financial crisis; funding liquidity
n6:klicoveSlovo
n12:market%20liquidity n12:liquidity%20risk n12:funding%20liquidity n12:global%20financial%20crisis n12:regulation n12:VT%20index n12:Slovakia
n6:kodStatuVydavatele
SK - Slovenská republika
n6:kontrolniKodProRIV
[675A6EADA0A1]
n6:nazevZdroje
Ekonomicky Casopis
n6:obor
n14:AH
n6:pocetDomacichTvurcuVysledku
2
n6:pocetTvurcuVysledku
3
n6:projekt
n7:GPP403%2F10%2FP278
n6:rokUplatneniVysledku
n19:2012
n6:svazekPeriodika
60
n6:tvurceVysledku
Vrábel, Michal Teplý, Petr Černohorská, Liběna
n6:wos
000304785600001
s:issn
0013-3035
s:numberOfPages
16
n8:organizacniJednotka
11230