Bank liquidity creation: A new global dataset for developing and emerging countries

Carmela D’Avino (), Eric Girardin () and Mimoza Shabani
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Carmela D’Avino: ICN Business School (Nancy) and CEREFIGE, Université de Lorraine
Authors registered in the RePEc Author Service: Carmela D'Avino

Review of World Economics (Weltwirtschaftliches Archiv), 2022, vol. 158, issue 2, No 5, 529-570

Abstract: Abstract The pre-Global Financial Crisis build-up, followed by the post-crisis collapse, in bank liquidity creation in developed countries is well-documented (Berger and Bowman, Berger and Bouwman, Review of Financial Studies 22:3779–3837, 2009). Comparable analyses on developing and emerging countries (DECs) have been severely hindered by the lack of detailed bank-by-bank balance sheet data. This paper proposes a new, high-frequency, Aggregate Bank Liquidity Creation (A-BLC) measure for 114 DECs on a comparable cross-country basis, which relies on macroeconomic, country-wide, banking systems’ balance sheet data. The A-BLC database allows us to assess the extent of bank fragility arising from illiquidity associated with intermediation at the banking system level for every DEC, at a monthly frequency over the period 2001–2016. Our measure captures more accurately than other measures proposed in the literature the evolution of bank liquidity creation in the DECs. Stylised facts and panel-regression analysis suggest a sharp pre-crisis build-up and post-crisis fall in liquidity creation in DECs, larger then that observed for developed countries. In addition, financial depth and stability appear as particularly important drivers of A-BLC in DECs.

Keywords: Developing and emerging countries; Bank liquidity creation; Financial fragility (search for similar items in EconPapers)
JEL-codes: E44 F30 G2 G21 O16 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10290-021-00434-1

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