 Do stress tests reduce liquidity risk opacity?Ines Khammassi, Talel Boufateh and Kamel Naoui American Journal of Finance and Accounting, 2020, vol. 6, issue 2, 135-158 Abstract: This paper examines the contribution of stress tests to reducing banking opacity and ensuring the financial resilience of liquidity risk in the face of adverse shocks. To this end, we survey a sample of conventional and Islamic banks operating in Middle East and North Africa (MENA) countries and observed between 2005 and 2015. The scope of this study bears on annual data collected from Bankscope and the World Bank. The sample includes 72 listed banks (48 conventional banks and 26 Islamic banks) in 7 MENA countries, during the 2005-2015 period. Moreover, like Abrigo and Love (2015), we used the generalised method of moments (GMM) to conduct two estimations of the panel-VAR approach. We run a liquidity risk stress test in response to macroeconomic and specific shocks for the 75 listed banks. In addition to these tests, we run impulse response functions (IRFs) to describe the response of liquidity risk to these shocks. We concluded that stress tests could play a fundamental role in reducing banking opacity by producing relevant information about banks' risk exposure, their current circumstances and their ability to resist adverse events. Keywords: stress tests; panel-VAR approach; liquidity risk; macroeconomic and specific shocks; Middle East and North Africa; MENA. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:amerfa:v:6:y:2020:i:2:p:135-158 Access Statistics for this article More articles in American Journal of Finance and Accounting from Inderscience Enterprises Ltd |
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