Bank Capital and Liquidity Creation : Granger-Causality Evidence

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Bank Capital and Liquidity Creation : Granger-Causality Evidence

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Bank Capital and Liquidity Creation : Granger-Causality Evidence

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Financial Services Research

ISSN

0920-8550

e-ISSN

—

Svazek periodika

45

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

21

Strana od-do

341-361

Kód UT WoS článku

000335171100004

EID výsledku v databázi Scopus

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