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International Banking and Liquidity Risk Transmission: Evidence from France

Matthieu Bussiere (), Boubacar Camara, Francois-Daniel Castellani, Vincent Potier and Julia Schmidt ()

IMF Economic Review, 2015, vol. 63, issue 3, 479-495

Abstract: The Banque de France contribution analyzes the effect of liquidity risk on domestic and foreign lending, credit and intragroup funding by French banking groups. The paper finds that a higher core deposit ratio, a higher commitment ratio, and a low ratio of illiquid assets are associated with higher growth of certain types of lending during times of liquidity risk. These effects are mitigated when public liquidity is accessed, thus confirming that public liquidity provision was conducive to maintaining lending growth. Most importantly, it finds that the quantitative importance of liquidity risk is more pronounced for foreign lending, which may suggest that the particular banking model of French banks and the strong domestic retail sector contributed to the stability of domestic credit.

Date: 2015
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