Bank liquidity and exposure to industry shocks: Evidence from Ukraine

Jose Arias, Oleksandr Talavera () and Andriy Tsapin

Emerging Markets Review, 2022, vol. 53, issue C

Abstract: This paper examines the link between bank liquidity and exposure to industry-level shocks. Using a unique dataset of borrower industry affiliations, we propose a new measure of industry-level shocks calculated at the bank level. We construct bank-specific loan portfolio weights for each industry and apply them to two industry-level indices. Our estimates reveal the negative link between bank liquidity and industry shocks. The sensitivity of liquidity to bank exposure is higher for more liquid, better capitalized, and smaller banks, which may be explained by their ability to displace funds, either for precautionary reasons or for loan financing.

Keywords: Bank liquidity; Industry-level shocks; Bank shock exposure; Lending behaviour (search for similar items in EconPapers)
JEL-codes: G01 G21 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:53:y:2022:i:c:s1566014122000590

DOI: 10.1016/j.ememar.2022.100942

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