Bank solvency, liquidity and financial crisis: what relationship?

Liquidité, solvabilité bancaire et crise financière: quelle relation ?

Olivier de Bandt, Sandrine Lecarpentier and Cyril Pouvelle

Eco Notepad (in progress) from Banque de France

Abstract: Bank solvency and liquidity risks mutually interact. Using a model that simultaneously estimates the solvency and liquidity ratios of French banks, it is possible to incorporate them jointly into a stress scenario. It shows that the financial environment has a significant impact, but only in times of crisis, and that solvency has an impact on liquidity, not vice versa.

Les risques de solvabilité et de liquidité bancaires interagissent entre eux. Un modèle estimant simultanément des ratios de solvabilité et de liquidité des banques françaises permet de les projeter dans un scénario de stress. Il montre que l’environnement financier a un impact significatif, mais uniquement en période de crise, et que la solvabilité a un effet sur la liquidité, et non l’inverse.

Date: 2020-07-24
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