The main objective of this study is to analyze the type of relationship that exists between liquidity risk, measured with the liquidity coverage ratio and the net stable funding ratio, and some specific bank structure variables (size, capitalization, assets quality and specialization). The sample is composed of 1080 listed and non-listed Eurozone banks and the methodology applied in the analysis is OLS regression based on panel data. The results highlight that bigger banks have a higher liquidity risk exposure, while banks with higher capitalization present a better liquidity on long horizon. The assets quality impacts only on the measure of the short term liquidity risk. With regard to the specialization, banks more specialized on the lending activity show a more vulnerable funding structure.
The determinants of bank liquidity risk within the context of Euro area
CUCINELLI, DORIANA
2013
Abstract
The main objective of this study is to analyze the type of relationship that exists between liquidity risk, measured with the liquidity coverage ratio and the net stable funding ratio, and some specific bank structure variables (size, capitalization, assets quality and specialization). The sample is composed of 1080 listed and non-listed Eurozone banks and the methodology applied in the analysis is OLS regression based on panel data. The results highlight that bigger banks have a higher liquidity risk exposure, while banks with higher capitalization present a better liquidity on long horizon. The assets quality impacts only on the measure of the short term liquidity risk. With regard to the specialization, banks more specialized on the lending activity show a more vulnerable funding structure.
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