Determinants of banks’ liquidity: A French perspective on interactions between market and regulatory requirements
نویسندگان
چکیده
Abstract The paper investigates the impact of solvency and liquidity regulation as well market shocks on banks’ balance sheet structure. It contributes in particular to debate use buffers by banks, initiated Goodhart’s (2008), “last taxi” argument. volatility long-term markets observed during Covid-19 pandemic shows that periods sharp increase risk aversion still result strains for banks. latter react differently depending diversity their funding sources profile. Indeed, a crisis, due interactions between liquidity, regulatory constraints, one may wonder whether banks or decrease liquidity. According simple portfolio allocation model increases when constraint is binding, hoard extra while they do not if binding. We show times measured large deviations financial variable capturing international markets’ aversion, French actually decreased coefficient, with our results mostly driven less liquid However, we find ratio has weakly significant effect were able establish firm causal relationship two variables basis Granger causality tests.
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ژورنال
عنوان ژورنال: Journal of Banking and Finance
سال: 2021
ISSN: ['1872-6372', '0378-4266']
DOI: https://doi.org/10.1016/j.jbankfin.2020.106032