This paper analyses the volatility spillover and the dynamic correlation between liquidity risks factors in Tunisian banks over 1990:1 2011:12. Based on the BEKK-GARCH estimation results, we find a significant volatility spillover between deposit and loan to economy and between securities...

This study examines the contagion of herding behavior in the Tunisian financial system during the period 2000:01-2012:12 by using several GARCH models. The BEKK-GARCH model results prove the volatility spillovers between the residues of time deposit and other financial variables for savings...

This paper investigates the effects of bank liquidity needs on the monetary authority's reaction. Over the period stretching between January 1990 and December 2010, we find that the liquidity resources are unsteady and insufficient, whereas liabilities are higher and unsteady. Based on ordinary...