Bank Capital and Liquidity Creation : Granger-Causality Evidence
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F14%3A10281691" target="_blank" >RIV/00216208:11230/14:10281691 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s10693-013-0164-4" target="_blank" >http://dx.doi.org/10.1007/s10693-013-0164-4</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10693-013-0164-4" target="_blank" >10.1007/s10693-013-0164-4</a>
Alternative languages
Result language
angličtina
Original language name
Bank Capital and Liquidity Creation : Granger-Causality Evidence
Original language description
We examine the relation between capital and liquidity creation. This issue is interesting because of the potential impact on liquidity creation from tighter capital requirements such as those in Basel III. We perform Granger-causality tests in a dynamicGMM panel estimator framework on an exhaustive data set of Czech banks, which mainly includes small banks from 2000 to 2010. We observe a strong expansion in liquidity creation until the financial crisis that was mainly driven by large banks. We show that capital negatively Granger-causes liquidity creation in this industry, where majority of banks are small. But we also observe that liquidity creation Granger-causes a reduction in capital. These findings support the view that Basel III can reduce liquidity creation, but also that greater liquidity creation can reduce banks' solvency. Thus, we show that this reverse causality generates a trade-off between the benefits of financial stability induced by stronger capital requirements and t
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Financial Services Research
ISSN
0920-8550
e-ISSN
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Volume of the periodical
45
Issue of the periodical within the volume
3
Country of publishing house
US - UNITED STATES
Number of pages
21
Pages from-to
341-361
UT code for WoS article
000335171100004
EID of the result in the Scopus database
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