Liquidity risk exposure for specialised and unspecialised real estate banks

Claudio Giannotti, Lucia Gibilaro and Gianluca Mattarocci

Journal of Property Investment & Finance, 2011, vol. 29, issue 2, 98-114

Abstract: Purpose - The purpose of this paper is to compare banks specialised on real estate lending with the overall market in order to the test if they are more or less exposed to liquidity risk. Design/methodology/approach - Following the approach proposed by the Basel Committee in order to evaluate the bank liquidity exposure, the paper compares the value of these measures between the real estate lending banks (REBs) and all other banks for the Italian market. A panel regression analysis is also performed in order to identify the main drivers of the liquidity risk measures for the two types of banks. Findings - The paper finds that no significant differences exist between REBs and the overall system if liquidity risk measures used by regulators in order to supervise the banking system are taken into account. Normally liquidity exposure by this type of bank is significantly affected by interbank market dynamics. Research limitations/implications - The paper considers only one market in order to test the fitness of the regulatory approach for the REBs and does not take into account the off balance sheet exposure. Practical implications - Even if REBs suffer from a misalignment between the asset and liability duration, the supervisory authority selects measures that do not penalise them. Originality/value - The paper represents one of the first empirical analyses on the impact of regulatory requirements for liquidity management by the Basel Committee in order to test if the rules proposed could penalise banks specialised in real estate loans.

Keywords: Risk assessment; Liquidity; Banks; Real estate; Italy (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:jpifpp:v:29:y:2011:i:2:p:98-114

DOI: 10.1108/14635781111112756

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